07
Aug
11

Paper: Curtosis y predicción de retornos

Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Abstract: 
Yes. We use intraday data to compute weekly realized variance, skewness and kurtosis for individual equities and assess whether this week’s realized moments predict next week’s stock returns in the cross-section. We sort stocks each week according to their past realized moments, form decile portfolios and analyze subsequent weekly returns. We find a very strong negative relationship between realized skewness and next week’s stock returns, and a positive relationship between realized kurtosis and next week’s stock returns. We do not find a strong relationship between realized volatility and 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 43 basis points with a t-statistic of 8.91. A similar strategy that buys stocks with high realized kurtosis and sells stocks with low realized kurtosis produces a weekly return of 16 basis points with a t-statistic of 2.98. Our results are robust across sample periods, portfolio weightings, and proxies for firm characteristics, and they are not captured by the Fama-French and Carhart factors.

Link al Paper


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