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

被引：326

作者：

Amaya, Diego ^{[1
]}

Christoffersen, Peter ^{[2
,3
,4
]}

Jacobs, Kris ^{[5
]}

Vasquez, Aurelio ^{[6
]}

机构：

[1] Univ Quebec, Ecole Sci Gest, Montreal, PQ H2X 3X2, Canada

[2] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada

[3] Copenhagen Business Sch, DK-2000 Federiksberg, Denmark

[4] Univ Aarhus, CREATES, DK-8000 Aarhus C, Denmark

[5] Univ Houston, Bauer Coll Business, Houston, TX 77204 USA

[6] ITAM, Mexico City 01080, DF, Mexico

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 118卷 / 01期

关键词：

Realized volatility; Skewness; Kurtosis; Equity markets; Cross-section of stock returns; STOCK RETURNS; VOLATILITY; MARKET; RISK; PREFERENCE; EQUILIBRIUM; LIQUIDITY;

D O I：

10.1016/j.jfineco.2015.02.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：135 / 167

页数：33

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