Does realized skewness predict the cross-section of equity returns?

Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez

Journal of Financial Economics, 2015, vol. 118, issue 1, 135-167

Abstract: We use intraday data to compute weekly realized moments for equity returns and study their time-series and cross-sectional properties. Buying stocks in the lowest realized skewness decile and selling stocks in the highest realized skewness decile generates an average return of 19 basis points the following week with a t-statistic of 3.70. This result is robust across a wide variety of implementations and is not captured by the Fama-French and Carhart factors. The relation between realized kurtosis and next week׳s stock returns is positive but not always significant. We do not find a strong relation between realized volatility and next week׳s stock returns.

Keywords: Realized volatility; Skewness; Kurtosis; Equity markets; Cross-section of stock returns (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (225)

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Working Paper: Does Realized Skewness Predict the Cross-Section of Equity Returns? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:118:y:2015:i:1:p:135-167

DOI: 10.1016/j.jfineco.2015.02.009

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