  Using intraday data for the cross-section of individual stocks, we show that
both transitory and persistent fluctuations in realized market and average
idiosyncratic volatility, skewness and kurtosis are differentially priced in
the cross-section of asset returns, implying a heterogeneous persistence
structure of different sources of higher moment risks. Specifically, we find
that idiosyncratic transitory shocks to volatility as well as idiosyncratic
persistent shocks to skewness contain strong commonalities that are relevant to
investors.
