Idiosyncratic Moments and theCross-Section of Stock Returns in Brazil

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dc.contributor.authorBERNARDO DE OLIVEIRA GUERRA RICCA
dc.contributor.authorAlmeida, Caio
dc.contributor.authorTessari, Cristina
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorAlmeida, Caio
dc.creatorTessari, Cristina
dc.date.accessioned2022-12-17T13:37:09Z
dc.date.available2022-12-17T13:37:09Z
dc.date.issued2016
dc.description.notesTexto completopt_BR
dc.description.otherWe use Brazilian data to compute monthly idiosyncratic moments (expected skewness,realized skewness, and realized volatility) for equity returns and assess whether theyare informative for the cross-section of future stock returns. Since there is evidencethat lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then,we sort stocks each month according to their idiosyncratic moments, forming quintileportfolios. We find a negative relationship between higher idiosyncratic moments andnext-month stock returns. The trading strategy that sells stocks in the top quintile ofexpected skewness and buys stocks in the bottom quintile generates a significant monthlyreturn of about 120 basis points. Our results are robust across sample periods, portfolioweightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identifya return reversal of stocks with high idiosyncratic skewness. Specifically, stocks withhigh idiosyncratic skewness have high contemporaneous returns. That tends to reverse,resulting in negative abnormal returns in the following month.pt_BR
dc.format.extentp. 255–286pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.12660/bre.v99n992016.18544pt_BR
dc.identifier.issn1980-2447pt_BR
dc.identifier.issue2pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5034
dc.identifier.volume36pt_BR
dc.language.isoPortuguêspt_BR
dc.publisherSociedade Brasileira de Econometriapt_BR
dc.relation.ispartofBrazilian Review of Econometricspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsIdiosyncratic skewnespt_BR
dc.subject.keywordsIdiosyncratic volatilitypt_BR
dc.subject.keywordsPortfolio selectionpt_BR
dc.titleIdiosyncratic Moments and theCross-Section of Stock Returns in Brazilpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/18544/65337
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication4dce0df5-dad1-4a82-8586-44b30a3a4233
relation.isAuthorOfPublication.latestForDiscovery4dce0df5-dad1-4a82-8586-44b30a3a4233
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