PT  - JOURNAL ARTICLE
AU  - Benjamin M. Blau
AU  - Ryan J. Whitby
TI  - Idiosyncratic Kurtosis and Expected Returns
AID  - 10.3905/joi.2017.26.4.081
DP  - 2017 Nov 30
TA  - The Journal of Investing
PG  - 81--88
VI  - 26
IP  - 4
4099  - https://pm-research.com/content/26/4/81.short
4100  - https://pm-research.com/content/26/4/81.full
AB  - 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