Department of Economics and Business Economics

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Research output: Working paperResearch

Standard

Does Realized Skewness Predict the Cross-Section of Equity Returns? / Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; Vasquez, Aurelio.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

Research output: Working paperResearch

Harvard

Amaya, D, Christoffersen, P, Jacobs, K & Vasquez, A 2013 'Does Realized Skewness Predict the Cross-Section of Equity Returns?' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Amaya, D., Christoffersen, P., Jacobs, K., & Vasquez, A. (2013). Does Realized Skewness Predict the Cross-Section of Equity Returns? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2013-41

CBE

Amaya D, Christoffersen P, Jacobs K, Vasquez A. 2013. Does Realized Skewness Predict the Cross-Section of Equity Returns?. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Amaya, Diego et al. Does Realized Skewness Predict the Cross-Section of Equity Returns?. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2013-41). 2013., 48 p.

Vancouver

Amaya D, Christoffersen P, Jacobs K, Vasquez A. Does Realized Skewness Predict the Cross-Section of Equity Returns? Aarhus: Institut for Økonomi, Aarhus Universitet. 2013 Dec 19.

Author

Amaya, Diego ; Christoffersen, Peter ; Jacobs, Kris ; Vasquez, Aurelio. / Does Realized Skewness Predict the Cross-Section of Equity Returns?. Aarhus : Institut for Økonomi, Aarhus Universitet, 2013. (CREATES Research Papers; No. 2013-41).

Bibtex

@techreport{08add822440346aeb51da444a35d9fd0,
title = "Does Realized Skewness Predict the Cross-Section of Equity Returns?",
abstract = "We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments{\textquoteright} time-series and cross-sectional properties. We investigate if this week{\textquoteright}'s realized moments are informative for the cross-section of next week'{\textquoteright}s stock returns. We find a very strong negative relationship between realized skewness and next week{\textquoteright}'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3.65. Our results on realized skewness are robust across a wide variety of implementations, sample periods, portfolio weightings, and firm characteristics, and are not captured by the Fama-French and Carhart factors. We find some evidence that the relationship between realized kurtosis and next week{\textquoteright}'s stock returns is positive, but the evidence is not always robust and statistically significant. We do not find a strong relationship between realized volatility and next week{\textquoteright}'s stock returns.",
keywords = "Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns",
author = "Diego Amaya and Peter Christoffersen and Kris Jacobs and Aurelio Vasquez",
year = "2013",
month = dec,
day = "19",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2013-41",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Does Realized Skewness Predict the Cross-Section of Equity Returns?

AU - Amaya, Diego

AU - Christoffersen, Peter

AU - Jacobs, Kris

AU - Vasquez, Aurelio

PY - 2013/12/19

Y1 - 2013/12/19

N2 - We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments’ time-series and cross-sectional properties. We investigate if this week’'s realized moments are informative for the cross-section of next week'’s stock returns. We find a very strong negative relationship between realized skewness and next week’'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3.65. Our results on realized skewness are robust across a wide variety of implementations, sample periods, portfolio weightings, and firm characteristics, and are not captured by the Fama-French and Carhart factors. We find some evidence that the relationship between realized kurtosis and next week’'s stock returns is positive, but the evidence is not always robust and statistically significant. We do not find a strong relationship between realized volatility and next week’'s stock returns.

AB - We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments’ time-series and cross-sectional properties. We investigate if this week’'s realized moments are informative for the cross-section of next week'’s stock returns. We find a very strong negative relationship between realized skewness and next week’'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3.65. Our results on realized skewness are robust across a wide variety of implementations, sample periods, portfolio weightings, and firm characteristics, and are not captured by the Fama-French and Carhart factors. We find some evidence that the relationship between realized kurtosis and next week’'s stock returns is positive, but the evidence is not always robust and statistically significant. We do not find a strong relationship between realized volatility and next week’'s stock returns.

KW - Realized volatility, skewness, kurtosis, equity markets, cross-section of stock returns

M3 - Working paper

T3 - CREATES Research Papers

BT - Does Realized Skewness Predict the Cross-Section of Equity Returns?

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -