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Does realized skewness predict the cross-section of Chinese stock returns?

Author

Listed:
  • Dai, Yiming
  • Jiang, Yuexiang
  • Long, Huaigang
  • Wang, Hui
  • Zaremba, Adam

Abstract

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional regressions after controlling for well-known risk factors. This result is robust under many considerations. However, after controlling for relative signed jump variance, this effect disappears in China but is not reversed as in the United States.

Suggested Citation

  • Dai, Yiming & Jiang, Yuexiang & Long, Huaigang & Wang, Hui & Zaremba, Adam, 2023. "Does realized skewness predict the cross-section of Chinese stock returns?," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007353
    DOI: 10.1016/j.frl.2023.104363
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    Keywords

    Realized skewness; Return p redictability; Chinese stock market; Asset pricing; Relative signed jump variance;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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