Empirical Analysis Of The Actual Skewness And Future Stock Returns

Merton first points out that as the frequency of data sampling increases,the volatility can be measured accurately.This discovery was subsequently applied to the literature studying the actual volatility,measuring the fluctuating rate over time.These documents constructed the actual volatility calculated from the square of daily returns.We calculate the actual skewness through the three-time intra-day returns to extend the concept of the existing actual volatility.It is proved that the computation of actual skewness is reliable in finite samples,and the results are robust for the existence of market microstructure noise and other variables.We use Amaya(2015)analysis framework,with the stock market crash of 2015 before and after the observation interval,including stock index futures,options,circuit breakers,the margin and the implementation of policies,in order to explore the relationship between the special historical period of the actual skewness and cross-section income effects.In this paper,the sample data by January 2010 December 31,12017 trading period all the Shanghai and Shenzhen stock market A stock market daily five minute high-frequency data,followed by five minutes of data to calculate the actual polymerization degree and skewness week,characteristics of time series and cross section of the actual sequence of higher order moments.By buying stocks with low bias and selling high skewness,the average return rate of the investment strategy is calculated and the T statistics are tested.In the last part of the paper,we use FM cross section regression method to test the empirical results,and further explore the ability of actual skewness in predicting future cross section earnings of stocks.In this paper,we first made a descriptive statistical analysis of the actual skewness,and found that the Chinese stock market was skewed to some extent during the observation period,which indicates that there is a fat tail phenomenon in China's stock market.Then the information contained in the actual skewness and the ability of the actual skewness to predict the future cross section income of the stock are analyzed and tested.This paper examined the actual skewness calculated from intraday returns and future stock returns between,we use intraday data to calculate the weekly stock returns the actual characteristics of the actual skewness,skewness,and further study its relationship with the future income.The shares are divided into 10 groups according to the actual skewness this week,according to the actual order from small to large skewness grouping,and then calculate the holding period is one week portfolio in next week's return,analysis of the relationship between the return rate of portfolio investment next week with the actual skewness,the study found the actual skewness and future stock returns there is an obvious negative correlation,with the increasing of the actual skewness,cross-section of stock returns decreases gradually,and the relationship with the special historical period of change.We can according to the conclusion to construct spatial arbitrage portfolio,investors can buy low real skewness stock portfolio,selling the actual high skewness portfolio,this strategy can help investors 0.102% of the revenue in the next week,and the T value is very significant.This indicates that the actual skewness factor is indeed one of the most important factors that affect asset pricing,and the excess rate of return caused by real skewness is not explained by other variables such as volatility,market value and market beta coefficient.Finally,we use the FM cross section regression method to prove that the actual skewness and the stock future yield are negative.By controlling the determinants of returns,the scale of the three factor model,the Jegadeesh(1990),Lehmann(1990),and Gutierrez and Kelley(2008)market beta coefficients,turnover rates and P / E ratios,we studied the robustness of these results.It is found that after controlling the above factors,the actual skewness still plays an important role in explaining the cross section of the yield.