Vugts, Zeger Floris (A.A. 2022/2023) The distribution of global stock market returns over long horizons: a cross-sectional study. Tesi di Laurea in Quantitative methods for finance, Luiss Guido Carli, relatore Marco Nicolosi, pp. 109. [Master's Degree Thesis]

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Abstract/Index

Literature overview. Distribution of stock market returns. Relevance of the third central moment: skewness. Measuring the higher moments of long-horizon returns. Global predictive power of United States. Methods. Method to construct term structure of market skewness. Method to test the robustness of the market skewness results. Data. Investigated countries. Data sources. Data preparation. Descriptive statistics. Results. Term structure of market skewness. Return predictability and the robustness of the estimates.

References

Bibliografia: pp. 107-108.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair:	Quantitative methods for finance
Thesis Supervisor:	Nicolosi, Marco
Thesis Co-Supervisor:	Ramponi, Alessandro
Academic Year:	2022/2023
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	16 Jan 2024 10:34
Last Modified:	16 Jan 2024 10:34
URI:	https://tesi.luiss.it/id/eprint/37560

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