2022
DOI: 10.1108/jabes-08-2021-0140
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Do average higher moments predict aggregate returns in emerging stock markets?

Abstract: PurposeIt has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets.Design/methodology/approachTwo measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model.FindingsThe authors report that both equ… Show more

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