TY - JOUR T1 - Idiosyncratic Kurtosis and Expected Returns JF - The Journal of Investing SP - 81 LP - 88 DO - 10.3905/joi.2017.26.4.081 VL - 26 IS - 4 AU - Benjamin M. Blau AU - Ryan J. Whitby Y1 - 2017/11/30 UR - https://pm-research.com/content/26/4/81.abstract N2 - 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 ER -