Does Realized Skewness Predict the Cross-Section of Equity Returns?

We use intraday data to compute weekly realized variance, skewness, and kurtosisfor equity returns and study the realizedmoments? time-series and cross-sectional properties. We investigate if this week?'s realizedmoments are informative for the cross-section of next week'?s stock returns. We ?find a very strong negative relationship between realized skewnessand next week?'s stock returns. A trading strategythat buys stocks in the lowest realized skewness decileand sells stocks in the highest realized skewness decilegenerates an average weekly return of 24 basis pointswith a t-statisticof 3.65. Our results on realized skewnessare robust across a wide variety of implementations, sample periods, portfolio weightings, and firm characteristics, and are not captured by the Fama-French and Carhart factors. We ?find some evidence that the relationship between realized kurtosisand next week?'s stock returns is positive, but the evidence is not always robust and statistically significant. We do not find a strong relationship between realizedvolatility and next week?'s stock returns.