{"id":"W4231770175","doi":"10.2139/ssrn.1363759","title":"Market Volatility, Skewness, and Kurtosis Risks and the Cross-Section of Stock Returns","year":2009,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto; Bank of Canada","funders":"","keywords":"Kurtosis; Skewness; Volatility (finance); Financial economics; Econometrics; Economics; Stock (firearms); Mathematics; Statistics; Engineering","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":[0.003123148,0.0004409712,0.0004636448,0.00140044,0.0002541205,0.001983383,0.0004593674,0.001226453,0.002802875],"category_scores_gemma":[0.02918885,0.0003882121,0.0006541924,0.001026139,0.0008018291,0.00335218,0.0009929754,0.001199815,0.0005883939],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003758517,"about_ca_system_score_gemma":0.0003276658,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001230347,"about_ca_topic_score_gemma":0.0009847587,"domain_scores_codex":[0.9995504,0.0001775713,0.00004127394,0.00006789519,0.00009556767,0.00006726809],"domain_scores_gemma":[0.9762461,0.0174096,0.00346905,0.0010331,0.0008966798,0.0009454194],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.001215534,0.0002238425,0.7875935,0.00009625265,0.0009793895,0.001000037,0.0008763786,0.0623803,0.005426028,0.09478728,0.001502543,0.04391903],"study_design_scores_gemma":[0.0000541908,0.0002463498,0.6365442,0.00006137654,0.0003004137,0.001584674,0.000462219,0.1914512,0.001534674,0.1665114,0.001131357,0.0001179942],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9861745,0.001821217,0.008992167,0.0005859767,0.00002396554,0.000006241003,0.0001118657,0.00004328043,0.002240809],"genre_scores_gemma":[0.9984125,0.0004614151,0.0003986375,0.0000219398,0.00005806678,0.000004665136,0.00008263704,0.000009181359,0.0005509838],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.003123148,"threshold_uncertainty_score":0.01651698,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02340239936804113,"score_gpt":0.2442014597480426,"score_spread":0.2207990603800015,"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."}}