2021
DOI: 10.1108/raf-06-2020-0171
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Higher moments and US industry returns: realized skewness and kurtosis

Abstract: Purpose The purpose of this paper is to examine the relationships between the higher moments of returns (realized skewness and kurtosis) and subsequent returns at the industry level, with a focus on both empirical predictability and practical application via trading strategies. Design/methodology/approach Daily returns for 48 US industries over the period 1970–2019 from Kenneth French’s data library are used to calculate the higher moments and to construct short- and medium-term single-sort trading strategie… Show more

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Cited by 10 publications
(9 citation statements)
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References 82 publications
(204 reference statements)
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“…Although the recent work by Badreddine and Clark (2021) uses industry-adjusted volatility to explain individual momentum returns in the UK, no study to our best knowledge has investigated this for industry momentum. As discussed, stock returns in the same industry display comovements (Parsons et al, 2020;Chen et al, 2021Chen et al, , 2022. Industry portfolios with higher gains also exhibit higher risk than other well-diversified trading portfolios (Badreddine and Clark, 2021).…”
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confidence: 78%
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“…Although the recent work by Badreddine and Clark (2021) uses industry-adjusted volatility to explain individual momentum returns in the UK, no study to our best knowledge has investigated this for industry momentum. As discussed, stock returns in the same industry display comovements (Parsons et al, 2020;Chen et al, 2021Chen et al, , 2022. Industry portfolios with higher gains also exhibit higher risk than other well-diversified trading portfolios (Badreddine and Clark, 2021).…”
mentioning
confidence: 78%
“…Volatility. Following Chen et al (2021), we transform the raw industry returns into log returns to reflect the dollar value of the returns generated by investors over multiple investment horizons:…”
Section: Methodsmentioning
confidence: 99%
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