The Intervaling Effect on Higher-Order Co-Moments
|Title:||The Intervaling Effect on Higher-Order Co-Moments||Authors:||Conlon, Thomas
|Permanent link:||http://hdl.handle.net/10197/7468||Date:||14-Jan-2016||Abstract:||This paper investigates the sensitivity of higher-order co-moments for different return measurement intervals. The levels of systematic skewness and kurtosis are found to be significantly influenced by the length of return interval. An asset preferred because of its positive co-skewness and low co-kurtosis when measured in one particular interval may have negative co-skewness or high co-kurtosis for another interval. We find the intervaling effect varies according to the level of price adjustment delay as proxied by market capitalization and illiquidity. Findings persist for intervals of up to twelve months, and are consistent during both volatile and stable periods.||Funding Details:||Science Foundation Ireland||Type of material:||Working Paper||Publisher:||University College Dublin. Geary Institute||Keywords:||Return interval;Co-skewness;Co-kurtosis;Price delay||Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Geary Institute Working Papers|
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