Critical Finance Review > Vol 12 > Issue 1-4

Special Issue on Volatility and Higher Moments

Edited by:
Juhani Linnainmaa, Dartmouth College, USA, juhani.t.linnainmaa@tuck.dartmouth.edu

Special Issue on Volatility and Higher Moments

Published: 08 Aug 2023

Volume 12, Issue 1-4

Introduction

 Juhani T. Linnainmaa
Volume 12, Issue 1-4

The Cross-Section of Volatility and Expected Returns: Then and Now

 Andrew Detzel  |  Jefferson Duarte  |  Avraham Kamara  |  Stephan Siegel  |  Celine Sun
Volume 12, Issue 1-4

The Fu (2009) Positive Relation Between Idiosyncratic Volatility and Expected Returns is Due to Look-Ahead Bias

 Seongkyu Gilbert Park  |  K. C. John Wei  |  Linti Zhang
Volume 12, Issue 1-4

Has Idiosyncratic Volatility Increased? Not in Recent Times

 Mardy Chiah  |  Philip Gharghori  |  Angel Zhong
Volume 12, Issue 1-4

Trend and Reversal of Idiosyncratic Volatility Revisited

 Markus Leippold  |  Michal Svatoň
Volume 12, Issue 1-4

Idiosyncratic Equity Risk Two Decades Later

 John Y. Campbell  |  Martin Lettau  |  Burton Malkiel  |  Yexiao Xu
Volume 12, Issue 1-4

A New Look at Expected Stock Returns and Volatility

 Russell P. Robins  |  Geoffrey Peter Smith
Volume 12, Issue 1-4

Expected Stock Market Returns and Volatility: Three Decades Later

 Haimanot Kassa  |  Feifei Wang  |  Yan Xuemin (Sterling)
Volume 12, Issue 1-4

Asset Pricing with Systematic Skewness: Two Decades Later

 Dan Gabriel Anghel  |  Petre Caraiani  |  Alina Roşu  |  Ioanid Roşu
Volume 12, Issue 1-4

Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence

 Campbell R. Harvey  |  Akhtar Siddique
Volume 12, Issue 1-4

Better Performance of Mutual Funds with Lower R2’s Does Not Suggest that Active Management Pays

 Juan Carlos Matallín-Sáez