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Keywords: Realized Skewness
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Journal Articles
Realized Skewness and the Return Predictability
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (1): 119–152.
Published: 29 February 2016
... find evidence of a negative relation between realized skewness and next week’s returns. A strategy buying stocks in the lowest realized skewness quintile and selling stocks in the highest realized skewness quintile earns 0.79 percent per week a risk-adjusted basis. Our results on the realized skewness...
