Does Realized Skewness Predict The Cross-section Of Equity Returns

In capital markets,the distribution of asset returns tend to be asymmetric,that exhibits characteristics of skewness,skewness on study of the phenomenon for nearly four decades.However,most research and analysis in the financial sector is often assumed yield assets are normally distributed,the distribution of such symmetry ignore skewness characteristic of the data itself.Skewness characteristic of asset return series were inherent properties,which were the actual value of skewness is extracted from the stock market intraday high frequency data described asymmetry feature,which contains a lot of useful information content.It affects the pricing of assets,and thus also determines the individual market participants operating behavior and regulation and so on.Therefore,the study of capital market yields of skewness is a theoretical and practical significance.This article draws on Diego Amaya(2012)and other analytical framework,days period from 1 January 1997 to 31 December 2015 China A-share stock market all day to calculate skewness,and higher use five minutes of high-frequency data moments and study their properties and time-series cross-section of the sequence,a single variable portfolio grouping and cross variable portfolio grouping method and Fama-Macbeth cross-sectional regression empirical analysis to explore whether the actual skewness as cross predictors sectional earnings.This paper analyzes the features of an actual statistical skewness and kurtosis found Chinese stock market at different times in memory or actual significant positive skewness negative,which indicates that the market there is always a period of time skew,skewness with the actual trends for the period increased in slight fluctuations.The actual peak value of long-term greater than 3,indicating that China’s stock market presence of fat tails.Then three steps to the actual information content skewness and its ability to explain the cross-sectional earnings were investigated,empirical results show that the sample period of this article,one week holding period for the portfolio changes,in actual skewness the lowest point and the highest buy stocks sell stocks in real skewness of long-short portfolio will generate in the next week to 23 basis points of the t-statistic of 3.09.Ie the actual skewness in cross-section having a significant explanatory power,it can become different from the existing models in the market factors in the new pricing factor,the greater the degree of actual bias,the smallerthe cross-sectional earnings.This results in added control variables other conditions remains robust.The article also examines the relationship between the peak of the cross-section and between yields and found that there is a positive relationship between the actual yield and next kurtosis,but not always significant.