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

• 成果类型: Article
• 署名作者: Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; Vasquez, Aurelio
• 署名单位: University of Quebec; University of Quebec Montreal; University of Toronto; Copenhagen Business School; CREATES; Aarhus University; University of Houston System; University of Houston; Instituto Tecnologico Autonomo de Mexico
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.02.009
• 发表日期: 2015
• 页码: 135-167
• 关键词: Realized volatility; skewness; kurtosis; EQUITY MARKETS; Cross-section of stock returns

摘要

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. (C) 2015 Elsevier BM. All rights reserved.