2021/04/09 by Jozef Baruník, Barunik, Jozef, Josef Kurka +1
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #General Finance (q-fin.GN) #Market Dynamics and Volatility #Pricing of Securities (q-fin.PR)
paper · pdf · doi:10.48550/arxiv.2104.04264
openalex publication_date 2021/04/09 · openalex created_date 2022/07/25 · openalex updated_date 2026/07/28
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the cross-section of asset returns, implying a heterogeneous persistence structure of different sources of higher moment risks. Specifically, we find that idiosyncratic transitory shocks to volatility as well as idiosyncratic persistent shocks to skewness contain strong commonalities that are relevant to investors.