..., the study evaluates the relationship between higher moments (skewness and kurtosis) and stock returns at individual stock and portfolio levels. The variations in the returns of the equal-weighted and the value-weighted portfolios are analysed, where the portfolios are constructed by sorting the stocks...

... series approximation and applied to hedge fund data. Findings An increase of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An increase of 1 in the kurtosis has the same effect on an investor as a decrease in the mean of 0.15 basis...

...Richard A. Michelfelder; Saurin Pandya © Emerald Group Publishing Limited 2005 Emerging stock markets GARCH Skewness Kurtosis Volatility Managerial Finance 66 Volatility of Stock Returns: Emerging and Mature Markets by Richard A. Michelfelder, Assistant Professor of Finance...