RT Journal Article SR Electronic T1 Idiosyncratic Kurtosis and Expected Returns JF The Journal of Investing FD Institutional Investor Journals SP 81 OP 88 DO 10.3905/joi.2017.26.4.081 VO 26 IS 4 A1 Benjamin M. Blau A1 Ryan J. Whitby YR 2017 UL https://pm-research.com/content/26/4/81.abstract 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