City Research Online

Abstract

The third moment of returns is important for asset pricing, but it is hard to measure precisely, particularly at long horizons. This paper proposes a definition of the realized third moment that is computed from high-frequency returns. It provides an unbiased estimate of the true third moment of long-horizon returns, doing for the third moment what realized variance does for the second moment. The methodology is used to demonstrate that the skewness of equity index returns, far from diminishing with horizon, actually increases with horizons up to a year, and its magnitude is economically important.

Publication Type:	Article
Additional Information:	This is a pre-copyedited, author-produced PDF of an article accepted for publication in Review of Financial Studies following peer review. The version of record Neuberger, A. (2012). Realized Skewness. The Review of Financial Studies, 25(11), pp. 3423-3455. is available online at: http://dx.doi.org/10.1093/rfs/hhs101
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

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