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

We use intraday data to compute weekly realizedmoments for equity returns and study their time-series and cross-sectional properties. Buying stocks in the lowest realizedskewness decileand selling stocks in the highest realizedskewness decilegenerates an average return of 19 basis pointsthe following week with a t-statisticof 3.70. This result is robust across a wide variety of implementations and is not captured by the Fama-French and Carhart factors. The relation between realized kurtosisand next week׳s stock returns is positive but not always significant. We do not find a strong relation between realizedvolatility and next week׳s stock returns.