Abstract

https://ssrn.com/abstract=2266042
 
 

References (16)



 


 



Idiosyncratic Kurtosis and Expected Returns


Benjamin M. Blau


Utah State University - Huntsman School of Business

Ryan J. Whitby


Utah State University - Huntsman School of Business

November 1, 2016


Abstract:     
This study tests whether or not investors are compensated for holding stocks with excess kurtosis. Contrary to the risk-based idea, we find a significant negative return premium associated with idiosyncratic kurtosis. These results hold in a number of Fama-MacBeth (1973) regressions that include various controls. The notion that kurtosis is negatively associated with expected returns is consistent with a growing body of research that reports negative returns when examining the relation between expected returns and other measures of risk.

Number of Pages in PDF File: 17

Keywords: Kurtosis, Leptokurtic Risk


Open PDF in Browser Download This Paper

Date posted: May 17, 2013 ; Last revised: February 1, 2017

Suggested Citation

Blau, Benjamin M. and Whitby, Ryan J., Idiosyncratic Kurtosis and Expected Returns (November 1, 2016). Available at SSRN: https://ssrn.com/abstract=2266042 or http://dx.doi.org/10.2139/ssrn.2266042

Contact Information

Benjamin M. Blau (Contact Author)
Utah State University - Huntsman School of Business ( email )
3500 Old Main Hill
Logan, UT 84322
United States
Ryan J. Whitby
Utah State University - Huntsman School of Business ( email )
3500 Old Main Hill
Logan, UT 84322-3500
United States
435.797.9495 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 502
Downloads: 93
Download Rank: 222,743
References:  16