Coskewness
⚠ weakenedCoskewnessRisk· Price data
Signal is the sample counterpart of $E[\tilde{r}_{it} \tilde{r}_{mt}^2]/( SD[\tilde{r}_{it} ] SD[\tilde{r}_{mt}]^2$ where $\tilde{r}_{it}$ is the de-meaned stock excess return and $\tilde{r}_{mt}$ is the de-meaned market excess return. Signal is computed using the past 60 months of monthly data, and using the NYSE/AMEX CRSP VW index for the market (msic). See code for details.
IS Sharpe (1927–1999)
0.052
+0.5% p.a.
OOS Sharpe (2000–2024)
0.282
+2.7% p.a.
Sharpe decay
-442.3%
(IS − OOS) / |IS|
IS vol
9.8%
annualized
Cumulative return (last 40 years, monthly)
+182%1984-012024-12
Publication details
AuthorsHarvey and Siddique
PaperHarvey and Siddique (2000)
JournalJournal of Finance
Publication year2000
Original sample1964–1993
IS T-statistic1.96
More Risk anomalies
Return skewness+0.47Market+0.44Idiosyncratic skewness (3F model)+0.39EPS Forecast Dispersion+0.32Coskewness using daily returns+0.30Systematic volatility+0.22
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