Cross-sectional return predictability: the predictive power of return asymmetry, skewness and tail risk

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Cross-sectional return predictability: the predictive power of return asymmetry, skewness and tail risk

This thesis attempts to investigate the cross-sectional predictive power of return asymmetry, skewness and tail risk. It mainly consists of three empirical chapters on the relation between predictive patterns of the return distribution and expected stock returns. In the first empirical chapter, I...

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Bibliographic Details
Main Author:	Xu, Zhongxiang
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2017
Subjects:	Financial crises Risk management Risk-return relationships
Online Access:	https://eprints.nottingham.ac.uk/41310/

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