변동성, 왜도, 첨도와 주식수익률의 횡단면

I compute historical volatility, skewness, and kurtosis for individual stock returns and investigate a cross-sectional relation between each moment and stock returns. First, I find that skewness is negatively related to subsequent stock returns, where skewness is estimated using 30-day, 60-day, and 180-day windows. The relation remains significant after controlling for various cross-sectional effects such as size, book-to-market, and short-term return reversals. Second, I find that the negative relation between skewness and future stock returns is more negative and significant among stocks that are heavily traded by individual investors. This evidence suggests that a preference for skewness or lottery-type stocks is the source of the negative skew-return relation, given that individual investors more likely to have a greater gambling propensity. Third, I find the skewness-return relation becomes less significant with a longer estimation window. It may highlight the possibility that skewness measures computed from short- and recent-period data are likely to contain different information from those computed from long-period data. Lastly, I find a positive relation between kurtosis and subsequent stock returns, where kurtosis is computed using 1-year and 2-year estimation windows.