Realized Skewness and Future Stock Returns: The Role of Information
نویسندگان
چکیده
This paper examines the relationship between realized daily skewness and future stock returns and investigates the impact of information releases on that relationship. We find that there exists a negative relationship between realized daily skewness and subsequent stock returns when there is no high-impact information release, but that the relationship becomes positive if the realized skewness is associated with such releases. We show that the profitability of a zero-investment portfolio can be enhanced by incorporating this positive relationship in the presence of high-impact information into investment strategies. As the positive relationship mainly results from riskier stocks with volume increase in the presence of information releases, we offer an explanation for this finding based on the divergence of investors’ opinion. JEL classification codes: G14, G17
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