The Skewness of the Stock Market over Long Horizons
研究了长期收益的高阶矩对资产定价的重要性，提出用短期收益精确估计长期收益的偏度和峰度，发现美国股票指数偏度大且为负，随期限延长衰减缓慢。
Abstract Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g., daily) returns can be used to construct precise estimates of long-horizon (e.g., annual) moments without making strong assumptions about the data-generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, that is, covariance between variance and lagged returns. We provide similar results for kurtosis. An application to U.S. stock index returns shows that skew is large and negative and attenuates only slowly as one moves from monthly to multiyear horizons.