Harvey and Siddique: Conditional Skewness in Asset Pricing Tests

Supplementary Results

Momentum over the period 1965.07 to 1989.12 Equally Weighted

Holding

Momentum

portfolio

Mean

Std Dev

Skewness

Kurtosis

1

3

1

-2.2092

25.24395

0.196026

2.019186

1

3

2

11.328

22.43456

0.085363

2.647661

1

3

3

14.5884

20.6024

0.011807

2.751604

1

3

4

16.7676

19.39654

0.035936

2.394881

1

3

5

16.7112

19.26941

0.05611

3.198532

1

3

6

16.9008

18.69645

-0.1144

2.905382

1

3

7

17.6772

19.45786

-0.185792

4.720316

1

3

8

18.3672

20.66059

-0.38284

3.929158

1

3

9

19.1076

22.2139

-0.462929

3.582961

1

3

10

14.4648

27.04286

-0.200546

2.122838

3

3

1

-8.622

17.01844

-0.082353

0.237102

3

3

2

4.1172

14.64137

-0.233045

0.502318

3

3

3

7.3104

13.3167

-0.285937

0.518327

3

3

4

9.5772

12.70147

-0.23582

0.395462

3

3

5

9.9636

12.15865

-0.226079

0.521769

3

3

6

10.2984

12.21996

-0.27771

0.486025

3

3

7

10.3944

12.53589

-0.288645

0.746127

3

3

8

10.422

13.0174

-0.362398

0.805595

3

3

9

9.3036

14.19035

-0.31396

0.524513

3

3

10

1.7196

17.60941

-0.171586

0.160175

6

3

1

-7.4844

12.33497

0.052231

-0.48827

6

3

2

2.712

10.52775

-0.076464

-0.35529

6

3

3

5.7672

9.569927

-0.10564

-0.2792

6

3

4

7.4748

9.196497

-0.132874

-0.24494

6

3

5

8.1912

8.841773

-0.087124

-0.22357

6

3

6

8.2848

8.874336

-0.158751

-0.1699

6

3

7

7.8816

9.162549

-0.15631

-0.12555

6

3

8

7.5708

9.542214

-0.15589

-0.10307

6

3

9

6.1572

10.39092

-0.112632

-0.27317

6

3

10

1.0752

12.20022

-0.039017

-0.40789

12

3

1

-5.9016

8.541089

-0.099135

-0.52623

12

3

2

1.6872

7.298862

-0.211534

-0.47644

12

3

3

4.4544

6.700958

-0.250038

-0.32759

12

3

4

5.796

6.343809

-0.301402

-0.29302

12

3

5

6.3924

6.153284

-0.324539

-0.21159

12

3

6

6.4392

6.183421

-0.341348

-0.23309

12

3

7

6.1812

6.3109

-0.356277

-0.22146

12

3

8

5.7624

6.630983

-0.351461

-0.21533

12

3

9

4.29

7.143324

-0.328758

-0.27729

12

3

10

-0.3924

8.358531

-0.151192

-0.51781

24

3

1

-2.5992

5.866802

0.102116

-0.41883

24

3

2

2.5224

4.991424

-0.272286

-0.27995

24

3

3

4.5612

4.581967

-0.358325

-0.0799

24

3

4

5.5008

4.373082

-0.482685

0.149473

24

3

5

5.9544

4.269852

-0.537967

0.006258

24

3

6

5.9412

4.293408

-0.588091

-0.03143

24

3

7

5.8476

4.34918

-0.523225

-0.12453

24

3

8

5.2668

4.53728

-0.51469

-0.17139

24

3

9

3.9144

4.878148

-0.369888

-0.45756

24

3

10

-0.1284

5.723042

-0.145744

-0.82092

36

3

1

-2.5992

5.866802

0.102116

-0.41883

36

3

2

2.5224

4.991424

-0.272286

-0.27995

36

3

3

4.5612

4.581967

-0.358325

-0.0799

36

3

4

5.5008

4.373082

-0.482685

0.149473

36

3

5

5.9544

4.269852

-0.537967

0.006258

36

3

6

5.9412

4.293408

-0.588091

-0.03143

36

3

7

5.8476

4.34918

-0.523225

-0.12453

36

3

8

5.2668

4.53728

-0.51469

-0.17139

36

3

9

3.9144

4.878148

-0.369888

-0.45756

36

3

10

-0.1284

5.723042

-0.145744

-0.82092

1

6

1

-2.2704

27.19389

0.524687

3.528843

1

6

2

9.6216

23.51051

0.39178

3.570874

1

6

3

14.7744

21.38494

0.289473

3.67867

1

6

4

16.0884

20.06234

0.134486

3.245274

1

6

5

16.3992

19.16376

-0.016902

3.041041

1

6

6

17.2476

18.78097

-0.263942

3.180811

1

6

7

18.0156

19.10383

-0.54879

3.743597

1

6

8

18.7776

20.00034

-0.536725

3.742823

1

6

9

20.1252

21.52627

-0.552212

3.250335

1

6

10

21.7176

24.50263

-0.592351

2.632282

3

6

1

-10.9176

17.3884

0.028373

0.450558

3

6

2

2.5152

15.22057

-0.044304

0.631445

3

6

3

6.7716

13.80271

-0.136202

0.704716

3

6

4

8.7576

12.90482

-0.232612

0.694971

3

6

5

9.8328

12.40633

-0.256262

0.537361

3

6

6

10.8792

12.06893

-0.35763

0.497119

3

6

7

11.0532

12.25668

-0.435206

0.697446

3

6

8

11.058

12.86463

-0.427201

0.562875

3

6

9

11.1216

13.7802

-0.363707

0.430737

3

6

10

8.6856

16.11119

-0.272871

0.384603

6

6

1

-9.9264

12.38139

0.034486

-0.33291

6

6

2

0.9264

10.8125

-0.018693

-0.14775

6

6

3

4.6488

9.857101

-0.047791

-0.1547

6

6

4

6.7224

9.397068

-0.083277

-0.12032

6

6

5

8.0424

9.035416

-0.155674

-0.07844

6

6

6

8.6376

8.846623

-0.182521

-0.24466

6

6

7

8.676

8.928722

-0.194141

-0.13071

6

6

8

8.742

9.380787

-0.184853

-0.29083

6

6

9

8.3388

10.09612

-0.173749

-0.28819

6

6

10

5.2968

11.87425

-0.084322

-0.37635

12

6

1

-8.1624

8.62111

-0.068259

-0.34434

12

6

2

0.0756

7.448165

-0.201831

-0.37899

12

6

3

3.474

6.863078

-0.249958

-0.15222

12

6

4

5.3688

6.496923

-0.256044

-0.15643

12

6

5

6.4296

6.288384

-0.344296

-0.08559

12

6

6

7.0692

6.139081

-0.358099

-0.17871

12

6

7

7.158

6.192082

-0.358976

-0.24678

12

6

8

6.9432

6.456393

-0.410506

-0.28738

12

6

9

6.306

6.908804

-0.360689

-0.34613

12

6

10

2.0556

8.19745

-0.196696

-0.3557

24

6

1

-3.57

5.982503

0.196193

-0.13235

24

6

2

1.758

5.070752

-0.146204

-0.18566

24

6

3

3.9552

4.659909

-0.26936

-0.07325

24

6

4

5.3748

4.387978

-0.423448

0.096925

24

6

5

6.1872

4.239714

-0.545883

0.100708

24

6

6

6.5244

4.203687

-0.564177

-0.04409

24

6

7

6.3768

4.294793

-0.585414

-0.09076

24

6

8

6.1464

4.468345

-0.586727

-0.25593

24

6

9

5.0928

4.806095

-0.511096

-0.464

24

6

10

0.6528

5.629165

-0.247611

-0.8405

36

6

1

-1.8168

4.449985

0.368037

-0.79547

36

6

2

2.5872

3.770675

0.08082

-0.84784

36

6

3

4.338

3.427036

-0.113699

-0.84311

36

6

4

5.3712

3.227157

-0.236846

-0.7192

36

6

5

6.0804

3.141247

-0.309682

-0.6682

36

6

6

6.3408

3.125659

-0.364145

-0.63281

36

6

7

6.1224

3.174503

-0.413206

-0.55632

36

6

8

5.856

3.356368

-0.384545

-0.5792

36

6

9

4.8456

3.602666

-0.276713

-0.67235

36

6

10

0.9096

4.209576

-0.037941

-0.69876

1

12

1

-0.8856

28.24143

0.737647

3.950515

1

12

2

8.5308

23.51294

0.298406

3.396194

1

12

3

12.744

21.24984

0.299181

3.622664

1

12

4

13.8732

19.66848

0.07826

3.317284

1

12

5

15.4548

19.31929

-0.158532

3.428837

1

12

6

17.3808

19.22438

-0.228064

3.983055

1

12

7

18.1704

19.30128

-0.451747

3.63686

1

12

8

20.0604

19.89503

-0.573534

3.687805

1

12

9

23.298

21.73377

-0.501704

3.484133

1

12

10

26.9364

24.94361

-0.628547

2.815341

3

12

1

-11.3496

17.96691

0.101084

0.494111

3

12

2

0.714

15.08824

-0.203056

0.69305

3

12

3

5.3532

13.57824

-0.144337

0.631331

3

12

4

7.5852

12.8054

-0.250987

0.702453

3

12

5

9.6408

12.32077

-0.317554

0.744248

3

12

6

10.56

12.11985

-0.348633

0.701809

3

12

7

11.7792

12.19294

-0.391931

0.607859

3

12

8

13.206

12.88057

-0.380615

0.723213

3

12

9

13.746

13.87165

-0.367902

0.597841

3

12

10

13.2996

16.05507

-0.30861

0.394337

6

12

1

-10.8972

12.90828

0.081899

-0.4185

6

12

2

-0.3192

10.84195

-0.038626

-0.15882

6

12

3

3.906

9.822807

-0.067213

-0.02896

6

12

4

6.1596

9.241877

-0.119429

0.073924

6

12

5

7.938

8.898584

-0.096069

0.04319

6

12

6

9.0156

8.673071

-0.108393

-0.21191

6

12

7

9.9792

8.743739

-0.169037

-0.27997

6

12

8

10.392

9.245687

-0.161574

-0.30984

6

12

9

10.3128

9.975573

-0.186961

-0.37335

6

12

10

7.9572

11.67194

-0.135378

-0.38296

12

12

1

-7.746

8.553213

-0.036848

-0.4809

12

12

2

-0.1392

7.351516

-0.219669

-0.33387

12

12

3

3.3492

6.686409

-0.27019

-0.10827

12

12

4

5.322

6.261017

-0.228815

-0.05869

12

12

5

6.7608

6.12176

-0.233672

0.057816

12

12

6

7.4136

6.04555

-0.276442

-0.11962

12

12

7

7.8852

6.218062

-0.332936

-0.23026

12

12

8

7.9284

6.456046

-0.318414

-0.46544

12

12

9

6.9576

7.030048

-0.329797

-0.45592

12

12

10

2.8464

8.225509

-0.363667

-0.36554

24

12

1

-3.0192

5.936777

0.235189

-0.37086

24

12

2

1.5828

4.93877

-0.15366

-0.50725

24

12

3

4.0068

4.4389

-0.264601

-0.36699

24

12

4

5.5908

4.154497

-0.378084

-0.27581

24

12

5

6.4092

4.04711

-0.457236

-0.1096

24

12

6

6.9492

4.090065

-0.591034

0.04032

24

12

7

6.9924

4.316617

-0.593977

-0.04767

24

12

8

6.63

4.541784

-0.601898

-0.08244

24

12

9

5.694

4.999738

-0.531528

-0.20641

24

12

10

1.0152

5.774311

-0.380308

-0.49036

36

12

1

-1.0932

4.558758

0.315502

-0.99268

36

12

2

2.5776

3.753008

0.097212

-1.06622

36

12

3

4.4928

3.363296

-0.080593

-0.92883

36

12

4

5.6268

3.159261

-0.198893

-0.94339

36

12

5

6.282

3.093096

-0.275634

-0.75434

36

12

6

6.762

3.098292

-0.395396

-0.62061

36

12

7

6.7044

3.224732

-0.438544

-0.51759

36

12

8

6.2928

3.348054

-0.437579

-0.44681

36

12

9

5.4072

3.654281

-0.380904

-0.3878

36

12

10

0.9264

4.209923

-0.194061

-0.48865

1

24

1

8.1324

29.64544

0.957283

4.576652

1

24

2

11.5128

23.98128

0.737266

5.699674

1

24

3

13.6896

21.70502

0.397863

5.483489

1

24

4

15.0348

20.32492

0.396977

5.37412

1

24

5

16.2528

19.3283

0.246395

5.059304

1

24

6

17.1216

18.7685

-0.335742

3.444141

1

24

7

17.7756

18.72693

-0.477866

3.479585

1

24

8

18.1092

19.56732

-0.737632

3.414929

1

24

9

20.562

21.3018

-0.687755

2.765285

1

24

10

21.1524

24.29825

-0.679838

2.306602

3

24

1

-4.6908

18.65072

0.189111

0.597765

3

24

2

3.3084

15.41006

0.014462

1.119832

3

24

3

6.7464

13.74937

-0.063235

1.218124

3

24

4

8.6856

12.73092

-0.143912

1.023672

3

24

5

10.3404

12.25634

-0.184139

0.81508

3

24

6

11.2968

11.86143

-0.359287

0.641809

3

24

7

11.5524

11.91651

-0.418534

0.405921

3

24

8

11.5584

12.48497

-0.551093

0.695568

3

24

9

12.1824

13.46496

-0.439693

0.391472

3

24

10

10.6632

15.65358

-0.354316

0.282516

6

24

1

-5.1936

13.20273

0.174934

-0.37296

6

24

2

1.3836

10.90395

0.040392

0.016059

6

24

3

5.0076

9.843245

0.022788

0.127224

6

24

4

7.2564

9.032991

0.000083

0.114611

6

24

5

8.7216

8.738543

-0.048033

0.089126

6

24

6

9.3492

8.578501

-0.150434

-0.12123

6

24

7

9.6648

8.674457

-0.227768

-0.19145

6

24

8

9.7824

9.104005

-0.268964

-0.2784

6

24

9

9.4032

9.916684

-0.234088

-0.23936

6

24

10

6.516

11.44089

-0.193671

-0.1899

12

24

1

-3.7032

8.631848

0.09198

-0.6614

12

24

2

1.014

7.096212

-0.150977

-0.51764

12

24

3

4.0164

6.424523

-0.148566

-0.19501

12

24

4

6.0984

6.062871

-0.209741

-0.15873

12

24

5

7.2504

5.97419

-0.282949

-0.07614

12

24

6

7.8552

5.955137

-0.36657

-0.15893

12

24

7

8.0076

6.1758

-0.425302

-0.16933

12

24

8

7.6836

6.552002

-0.456946

-0.05782

12

24

9

6.942

7.219534

-0.451787

-0.09766

12

24

10

2.4456

8.278856

-0.427766

-0.07905

24

24

1

-0.552

6.298083

0.222983

-0.6465

24

24

2

2.454

5.079066

-0.097141

-0.93982

24

24

3

4.3788

4.553215

-0.243732

-0.86149

24

24

4

6.066

4.195373

-0.320627

-0.72919

24

24

5

6.894

4.079326

-0.424129

-0.36525

24

24

6

7.524

4.112581

-0.539985

-0.10202

24

24

7

7.5912

4.253224

-0.705738

0.305916

24

24

8

7.2312

4.476659

-0.721346

0.38963

24

24

9

6.0312

4.895815

-0.7915

0.523582

24

24

10

1.0812

5.549144

-0.704858

0.124945

36

24

1

0.978

4.945351

0.165934

-0.83976

36

24

2

3.51

3.980599

-0.029638

-0.88517

36

24

3

5.1852

3.518834

-0.118214

-0.87832

36

24

4

6.4104

3.211569

-0.200603

-0.84394

36

24

5

6.9228

3.107992

-0.308175

-0.71813

36

24

6

7.3284

3.047024

-0.390166

-0.77033

36

24

7

7.23

3.120463

-0.472273

-0.65934

36

24

8

6.7296

3.251406

-0.449898

-0.69956

36

24

9

5.3148

3.47588

-0.46218

-0.58433

36

24

10

0.3384

3.960854

-0.322485

-0.67281

1

36

1

11.37

30.23641

1.163168

5.889344

1

36

2

12.7536

24.48358

1.019263

7.95391

1

36

3

14.8536

21.90871

0.85414

7.962767

1

36

4

14.9688

20.32769

0.239047

5.723445

1

36

5

16.3284

19.14955

-0.031858

4.790837

1

36

6

16.7592

18.61435

-0.147005

4.296757

1

36

7

17.9352

18.56724

-0.377841

3.388272

1

36

8

18.0636

19.59815

-0.649176

2.905629

1

36

9

19.83

20.78496

-0.737874

2.565828

1

36

10

19.6188

24.02874

-0.661705

2.057501

3

36

1

-1.242

19.32692

0.430061

1.094974

3

36

2

4.4052

15.41941

0.128161

1.593726

3

36

3

7.638

13.81657

0.089729

1.564143

3

36

4

8.8128

12.72676

-0.143143

1.085883

3

36

5

10.5912

12.12505

-0.328231

1.122179

3

36

6

11.4072

11.7485

-0.398845

0.734478

3

36

7

12.1284

11.77448

-0.393938

0.505952

3

36

8

12.1752

12.28405

-0.518565

0.507125

3

36

9

12.2844

13.24291

-0.476611

0.447763

3

36

10

10.2852

15.49285

-0.452681

0.494071

6

36

1

-2.178

13.64821

0.330566

-0.35906

6

36

2

2.7912

10.93236

0.153559

-0.02647

6

36

3

5.9292

9.758721

0.081394

0.254112

6

36

4

7.4544

9.059665

-0.041834

0.144284

6

36

5

8.8452

8.655058

-0.165124

0.126144

6

36

6

9.828

8.376544

-0.197961

-0.02613

6

36

7

10.1304

8.541435

-0.290054

-0.00835

6

36

8

10.098

8.97237

-0.346719

0.033244

6

36

9

9.4872

9.747289

-0.285837

-0.03693

6

36

10

6.6396

11.36364

-0.285368

0.188756

12

36

1

-1.2624

9.125483

0.189589

-0.64996

12

36

2

2.4444

7.318954

-0.101807

-0.38601

12

36

3

4.764

6.559969

-0.205234

-0.17011

12

36

4

6.3036

6.157787

-0.285128

-0.16729

12

36

5

7.4676

5.961719

-0.317711

-0.22907

12

36

6

8.4672

5.844286

-0.360446

-0.22475

12

36

7

8.5728

5.946477

-0.41518

-0.16542

12

36

8

8.0388

6.302933

-0.539605

0.081012

12

36

9

6.7896

6.949681

-0.537152

0.074751

12

36

10

2.9904

7.970205

-0.56642

0.267995

24

36

1

1.6812

6.533988

0.178333

-0.5495

24

36

2

3.846

5.234258

-0.150899

-0.72192

24

36

3

5.0628

4.668223

-0.304794

-0.70845

24

36

4

6.264

4.326317

-0.439401

-0.5342

24

36

5

7.2132

4.184635

-0.52609

-0.26549

24

36

6

8.088

3.993763

-0.553573

-0.12614

24

36

7

8.1408

4.023208

-0.604559

0.033389

24

36

8

7.3656

4.214772

-0.704747

0.225303

24

36

9

5.6616

4.597902

-0.751102

0.285223

24

36

10

1.0692

5.111628

-0.79298

0.364719

36

36

1

2.9964

4.88473

0.139037

-0.94182

36

36

2

4.6944

3.995495

-0.071156

-0.86982

36

36

3

5.7444

3.559711

-0.169187

-0.86671

36

36

4

6.6912

3.284661

-0.278281

-0.80652

36

36

5

7.4076

3.101757

-0.389272

-0.63244

36

36

6

7.7316

2.952107

-0.422078

-0.6915

36

36

7

7.686

2.953839

-0.451622

-0.72775

36

36

8

6.6828

3.04356

-0.486764

-0.71084

36

36

9

4.8396

3.344244

-0.497724

-0.63205

36

36

10

0.156

3.729452

-0.396756

-0.63716