Does realized skewness predict the cross-section of Chinese stock returns?

Yiming Dai, Yuexiang Jiang, Huaigang Long, Hui Wang and Adam Zaremba

Finance Research Letters, 2023, vol. 58, issue PB

Abstract: We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional regressions after controlling for well-known risk factors. This result is robust under many considerations. However, after controlling for relative signed jump variance, this effect disappears in China but is not reversed as in the United States.

Keywords: Realized skewness; Return p redictability; Chinese stock market; Asset pricing; Relative signed jump variance (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007353

DOI: 10.1016/j.frl.2023.104363

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