{"id":"W3125789305","doi":"10.2139/ssrn.1785736","title":"Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?","year":2011,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":19,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto; Wilfrid Laurier University","funders":"","keywords":"Kurtosis; Skewness; Equity (law); Econometrics; Economics; Financial economics; Statistics; Business; Mathematics; Political science; Law","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003172491,0.0005105729,0.0006006454,0.0007768528,0.0002777043,0.002130555,0.000730661,0.001797936,0.003926339],"category_scores_gemma":[0.02004507,0.0005166277,0.0008977802,0.0007005392,0.000917758,0.002522551,0.0007630156,0.001339002,0.002130972],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0002420574,"about_ca_system_score_gemma":0.0004089095,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002548998,"about_ca_topic_score_gemma":0.002106094,"domain_scores_codex":[0.9994837,0.0001917913,0.00005351584,0.00009338609,0.0000603558,0.0001171261],"domain_scores_gemma":[0.9741806,0.01411029,0.006454544,0.00229938,0.0009621351,0.001992986],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001994324,0.00007373181,0.9946448,0.000007455837,0.0001202733,0.00007869442,0.00007760955,0.000875602,0.00023566,0.0002768543,0.0001849853,0.003224879],"study_design_scores_gemma":[0.00002063126,0.0001355796,0.9850982,0.00001394655,0.0000651781,0.0002581662,0.0002468147,0.01019757,0.0003242864,0.003397318,0.0002212076,0.00002098643],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9982956,0.000190107,0.0005358874,0.0002692279,0.00001270141,0.00000221807,0.0001392081,0.00001022783,0.0005447767],"genre_scores_gemma":[0.9994769,0.00008388031,0.00006259315,0.00002513704,0.00002629678,0.000001367327,0.0001397202,0.000004789725,0.00017928],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.003926339,"threshold_uncertainty_score":0.01677793,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03325872079965558,"score_gpt":0.2446822787390053,"score_spread":0.2114235579393497,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}