Moment Risk Premia and the Cross-Section of Stock Returns
Author | : Richard D. F. Harris |
Publisher | : |
Total Pages | : 41 |
Release | : 2018 |
ISBN-10 | : OCLC:1304470219 |
ISBN-13 | : |
Rating | : 4/5 (19 Downloads) |
Download or read book Moment Risk Premia and the Cross-Section of Stock Returns written by Richard D. F. Harris and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the determinants of moment risk premia (MRP) and their relationship with stock returns. Stocks with high beta, idiosyncratic volatility and maximum return are associated with a high variance risk premium (VRP). The skew risk premium (SRP) is mainly driven by return reversals, the maximum return and idiosyncratic skewness, while the kurtosis risk premium (KRP) is associated with all firm characteristics. We find that both the VRP and SRP are negatively related to stock returns, while the KRP has no relation with stock returns. However, the negative relation between the SRP and stock returns is robust to the inclusion of firm-level variables, while the VRP is not.