%0 Journal Article %A Benjamin M. Blau %A Ryan J. Whitby %T Idiosyncratic Kurtosis and Expected Returns %D 2017 %R 10.3905/joi.2017.26.4.081 %J The Journal of Investing %P 81-88 %V 26 %N 4 %X This study tests whether or not investors are compensated for holding stocks with excess kurtosis. Contrary to the risk-based idea, the authors 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.TOPICS: Security analysis and valuation, statistical methods %U https://joi.pm-research.com/content/iijinvest/26/4/81.full.pdf