Power of Skewness and Kurtosis to Predict Stock Returns
August 4, 2011 - Technical Trading
Many studies rely on the first moment (mean) of historical asset return distributions and/or the second moment (variance or standard deviation) to predict future returns. Are the third (skewness, indicating left-right tail asymmetry) and fourth (kurtosis, indicating fat-tailedness) moments of return distributions useful for predicting returns? In the July 2011 update of their paper entitled “Do Realized… Keep Reading