Higher-Order Moments of Fundamentals: A Literature Review

35 Pages Posted: 28 Mar 2017 Last revised: 19 Aug 2017

See all articles by Yuecheng Jia

Yuecheng Jia

Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development

Ivilina Popova

Texas State University - San Marcos

Betty J. Simkins

Oklahoma State University - Stillwater - Department of Finance

Date Written: March 25, 2017

Abstract

This literature review outlines the major progress in the research of the fundamental higher-order moments. We survey the existence, the formation, and the financial market and macroeconomics implications for the moments. Research shows that the time-varying volatility and the non-Gaussian shocks widely exist in all measures of fundamentals at both micro and macro levels. Additionally, the granular network among firms is the origin of the fundamental higher-order moments. Empirical evidence shows that the moments have strong predictive power on asset prices and macroeconomic variables. We also highlight crucial areas where more research is still needed to better understand the moments.

Keywords: Fundamental Higher-Order Moments, Granular Hypothesis, Network Origin

JEL Classification: G12

Suggested Citation

Jia, Yuecheng and Popova, Ivilina and Simkins, Betty J., Higher-Order Moments of Fundamentals: A Literature Review (March 25, 2017). Available at SSRN: https://ssrn.com/abstract=2941007 or http://dx.doi.org/10.2139/ssrn.2941007

Yuecheng Jia

Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development ( email )

39 South College Road
Beijing
China

Ivilina Popova

Texas State University - San Marcos ( email )

601 University Drive
San Marcos, TX 78666-4616
United States

HOME PAGE: http://www.business.txstate.edu/users/ip12/

Betty J. Simkins (Contact Author)

Oklahoma State University - Stillwater - Department of Finance ( email )

336 Business Building
Stillwater, OK 74078-4011
United States
405-744-8625 (Phone)
405-744-5180 (Fax)

HOME PAGE: http://spears.okstate.edu/~simkins

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