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Self-financed portfolios long on the stocks least exposed to the aggregate moment-based variable and short on the stocks most exposed to it achieve positive and significant Carhart 4-factor alphas and a considerably higher Sharpe ratio than the S&amp;P 500 index, with positive skewness.<\/jats:p>","DOI":"10.1142\/s0219024918500437","type":"journal-article","created":{"date-parts":[[2018,9,7]],"date-time":"2018-09-07T03:42:30Z","timestamp":1536291750000},"page":"1850043","source":"Crossref","is-referenced-by-count":5,"title":["OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS"],"prefix":"10.1142","volume":"21","author":[{"given":"JOS\u00c9 AFONSO","family":"FAIAS","sequence":"first","affiliation":[{"name":"UCP \u2013 Cat\u00f3lica Lisbon School of Business and Economics, Palma de Cima, Lisbon, Portugal"}]},{"given":"TIAGO","family":"CASTEL-BRANCO","sequence":"additional","affiliation":[{"name":"Oxycapital, Av. Eng. 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