Harvey and Siddique: Conditional Skewness in Asset Pricing Tests

Supplementary Results

Momentum over the period 1927.01 to 1997.12 Equally Weighted

Holding

Momentum

portfolio

Mean

Std Dev

Skewness

Kurtosis

Variable

1

3

1

1.634

31.857

2.118

15.594

H13R1

1

3

2

10.971

27.663

2.014

19.319

H13R2

1

3

3

14.695

26.829

2.539

24.502

H13R3

1

3

4

15.650

24.715

1.776

17.007

H13R4

1

3

5

15.327

24.441

1.788

18.193

H13R5

1

3

6

16.589

23.699

1.222

12.582

H13R6

1

3

7

17.390

23.919

1.131

13.417

H13R7

1

3

8

16.143

25.150

0.648

8.634

H13R8

1

3

9

11.760

28.830

0.755

7.545

H13R9

1

3

10

18.532

34.424

2.103

15.295

H13R10

3

3

1

-2.663

19.886

1.265

10.890

H33R1

3

3

2

5.993

17.358

1.365

13.638

H33R2

3

3

3

8.433

16.281

1.375

14.433

H33R3

3

3

4

9.458

15.371

1.000

12.092

H33R4

3

3

5

9.519

14.784

0.905

10.070

H33R5

3

3

6

10.048

14.611

0.756

9.843

H33R6

3

3

7

10.003

14.965

0.696

9.201

H33R7

3

3

8

8.909

15.781

0.762

9.043

H33R8

3

3

9

2.487

19.584

0.222

6.601

H33R9

3

3

10

1.112

21.614

1.078

8.701

H33R10

6

3

1

-2.434

13.625

0.154

2.891

H63R1

6

3

2

4.613

11.859

0.035

3.904

H63R2

6

3

3

6.640

10.988

0.020

4.183

H63R3

6

3

4

7.599

10.576

-0.204

3.872

H63R4

6

3

5

7.859

10.270

-0.206

3.393

H63R5

6

3

6

8.352

10.052

-0.378

2.649

H63R6

6

3

7

8.115

10.167

-0.395

2.547

H63R7

6

3

8

7.682

10.697

-0.251

2.992

H63R8

6

3

9

1.444

14.597

-1.289

5.380

H63R9

6

3

10

-1.569

15.991

-0.513

2.441

H63R10

12

3

1

-0.761

9.789

-0.228

1.877

H123R1

12

3

2

4.328

8.494

-0.465

2.727

H123R2

12

3

3

6.098

7.931

-0.494

3.115

H123R3

12

3

4

6.833

7.706

-0.667

3.716

H123R4

12

3

5

7.011

7.435

-0.637

2.726

H123R5

12

3

6

7.512

7.444

-0.669

3.026

H123R6

12

3

7

7.174

7.470

-0.730

2.819

H123R7

12

3

8

6.924

7.813

-0.694

2.786

H123R8

12

3

9

4.516

9.260

-1.158

4.015

H123R9

12

3

10

-3.451

14.033

-1.907

6.124

H123R10

24

3

1

1.458

6.910

-0.751

1.823

H243R1

24

3

2

4.813

5.953

-1.116

2.748

H243R2

24

3

3

6.041

5.598

-1.275

3.509

H243R3

24

3

4

6.647

5.496

-1.360

4.065

H243R4

24

3

5

6.861

5.291

-1.460

4.185

H243R5

24

3

6

6.969

5.339

-1.376

3.634

H243R6

24

3

7

6.888

5.404

-1.466

4.398

H243R7

24

3

8

6.538

5.572

-1.385

3.962

H243R8

24

3

9

5.844

5.913

-1.286

3.356

H243R9

24

3

10

2.327

7.148

-0.875

1.645

H243R10

36

3

1

1.465

6.914

-0.752

1.819

H363R1

36

3

2

4.810

5.957

-1.115

2.741

H363R2

36

3

3

6.037

5.601

-1.274

3.500

H363R3

36

3

4

6.643

5.499

-1.359

4.056

H363R4

36

3

5

6.851

5.294

-1.458

4.177

H363R5

36

3

6

6.960

5.341

-1.374

3.626

H363R6

36

3

7

6.879

5.406

-1.464

4.390

H363R7

36

3

8

6.530

5.575

-1.383

3.954

H363R8

36

3

9

5.839

5.916

-1.284

3.348

H363R9

36

3

10

2.411

7.119

-0.870

1.664

H363R10

1

6

1

2.473

34.429

2.605

19.619

H16R1

1

6

2

11.262

30.449

2.495

21.819

H16R2

1

6

3

15.676

27.861

2.366

21.414

H16R3

1

6

4

15.807

26.770

2.565

24.886

H16R4

1

6

5

16.055

25.871

2.425

23.952

H16R5

1

6

6

17.105

24.058

1.499

15.564

H16R6

1

6

7

17.739

23.162

0.924

10.605

H16R7

1

6

8

17.184

23.153

0.278

6.063

H16R8

1

6

9

14.265

25.741

0.567

6.911

H16R9

1

6

10

20.260

29.259

1.050

8.485

H16R10

3

6

1

-5.087

20.909

1.498

12.674

H36R1

3

6

2

4.484

18.423

1.493

14.782

H36R2

3

6

3

8.098

17.293

1.742

17.797

H36R3

3

6

4

9.020

16.146

1.418

15.658

H36R4

3

6

5

9.527

15.457

1.254

13.034

H36R5

3

6

6

10.491

14.916

1.149

13.477

H36R6

3

6

7

10.866

14.682

0.943

10.479

H36R7

3

6

8

10.446

14.730

0.480

7.161

H36R8

3

6

9

6.710

16.595

0.306

4.813

H36R9

3

6

10

6.251

18.570

0.497

3.841

H36R10

6

6

1

-4.996

13.902

0.148

2.863

H66R1

6

6

2

2.777

12.161

0.026

3.934

H66R2

6

6

3

5.834

11.241

-0.098

4.134

H66R3

6

6

4

7.052

10.691

-0.101

3.906

H66R4

6

6

5

7.909

10.472

-0.137

3.838

H66R5

6

6

6

8.507

10.238

-0.160

3.632

H66R6

6

6

7

9.214

10.268

-0.062

3.764

H66R7

6

6

8

9.005

10.431

-0.276

3.131

H66R8

6

6

9

6.389

11.889

-0.402

2.527

H66R9

6

6

10

3.608

14.115

-0.110

1.954

H66R10

12

6

1

-2.694

9.987

-0.158

1.796

H126R1

12

6

2

3.018

8.592

-0.282

2.769

H126R2

12

6

3

5.320

8.161

-0.472

3.468

H126R3

12

6

4

6.535

7.834

-0.579

3.353

H126R4

12

6

5

7.212

7.592

-0.667

3.405

H126R5

12

6

6

7.786

7.524

-0.702

3.179

H126R6

12

6

7

8.033

7.515

-0.670

2.859

H126R7

12

6

8

7.883

7.577

-0.845

2.504

H126R8

12

6

9

7.251

8.041

-0.661

1.927

H126R9

12

6

10

1.402

10.976

-0.896

2.013

H126R10

24

6

1

0.866

7.015

-0.682

1.756

H246R1

24

6

2

4.341

6.066

-1.033

2.789

H246R2

24

6

3

5.767

5.710

-1.182

3.436

H246R3

24

6

4

6.567

5.555

-1.411

4.257

H246R4

24

6

5

6.995

5.389

-1.483

4.447

H246R5

24

6

6

7.193

5.360

-1.528

4.513

H246R6

24

6

7

7.178

5.323

-1.400

3.697

H246R7

24

6

8

6.965

5.484

-1.473

4.046

H246R8

24

6

9

6.437

5.766

-1.241

2.896

H246R9

24

6

10

3.938

6.539

-0.889

2.090

H246R10

36

6

1

2.216

5.501

-0.898

2.642

H366R1

36

6

2

4.843

4.804

-1.212

3.544

H366R2

36

6

3

5.915

4.467

-1.445

4.571

H366R3

36

6

4

6.500

4.345

-1.542

4.784

H366R4

36

6

5

6.796

4.258

-1.566

4.866

H366R5

36

6

6

6.976

4.272

-1.656

5.289

H366R6

36

6

7

6.976

4.233

-1.519

4.641

H366R7

36

6

8

6.719

4.421

-1.608

4.879

H366R8

36

6

9

6.235

4.632

-1.390

3.797

H366R9

36

6

10

4.015

5.265

-0.948

2.681

H366R10

1

12

1

2.467

35.810

2.448

18.544

H112R1

1

12

2

10.512

31.668

2.632

23.611

H112R2

1

12

3

14.047

29.476

2.842

25.728

H112R3

1

12

4

14.280

27.081

2.712

27.558

H112R4

1

12

5

15.132

24.915

1.740

17.526

H112R5

1

12

6

16.960

24.087

1.443

15.045

H112R6

1

12

7

18.677

23.771

1.463

15.928

H112R7

1

12

8

20.109

23.540

0.835

9.690

H112R8

1

12

9

20.352

24.586

0.649

7.911

H112R9

1

12

10

23.641

27.826

0.669

6.739

H112R10

3

12

1

-6.383

21.448

1.299

10.551

H312R1

3

12

2

3.053

18.686

1.228

11.984

H312R2

3

12

3

6.522

17.427

1.634

16.034

H312R3

3

12

4

8.264

16.336

1.450

15.099

H312R4

3

12

5

9.565

15.502

1.304

13.226

H312R5

3

12

6

10.478

14.923

1.043

11.706

H312R6

3

12

7

11.606

14.528

0.732

9.474

H312R7

3

12

8

12.905

14.986

0.804

9.452

H312R8

3

12

9

12.187

15.588

0.750

9.155

H312R9

3

12

10

10.398

17.995

0.713

6.247

H312R10

6

12

1

-6.064

14.284

0.071

1.931

H612R1

6

12

2

2.117

12.462

-0.046

3.363

H612R2

6

12

3

5.047

11.485

-0.176

3.638

H612R3

6

12

4

6.770

10.882

-0.195

4.130

H612R4

6

12

5

7.900

10.534

-0.300

3.844

H612R5

6

12

6

8.953

10.206

-0.222

3.467

H612R6

6

12

7

9.886

10.141

-0.322

3.541

H612R7

6

12

8

10.348

10.420

-0.196

3.221

H612R8

6

12

9

10.375

10.806

-0.049

2.998

H612R9

6

12

10

6.483

12.945

0.129

2.372

H612R10

12

12

1

-2.078

10.147

-0.013

1.922

H1212R1

12

12

2

3.233

8.806

-0.364

2.808

H1212R2

12

12

3

5.549

8.177

-0.438

4.076

H1212R3

12

12

4

6.677

8.000

-0.538

4.633

H1212R4

12

12

5

7.395

7.651

-0.641

3.746

H1212R5

12

12

6

7.915

7.563

-0.762

3.498

H1212R6

12

12

7

8.178

7.457

-0.839

3.030

H1212R7

12

12

8

8.278

7.635

-0.689

2.273

H1212R8

12

12

9

7.840

7.895

-0.649

1.570

H1212R9

12

12

10

4.021

9.076

-0.429

0.614

H1212R10

24

12

1

1.339

7.124

-0.647

1.811

H2412R1

24

12

2

4.426

6.090

-1.014

2.924

H2412R2

24

12

3

5.881

5.707

-1.239

4.228

H2412R3

24

12

4

6.684

5.476

-1.341

4.605

H2412R4

24

12

5

7.093

5.381

-1.454

4.716

H2412R5

24

12

6

7.376

5.332

-1.474

4.094

H2412R6

24

12

7

7.325

5.321

-1.424

3.739

H2412R7

24

12

8

7.177

5.474

-1.420

3.501

H2412R8

24

12

9

6.389

5.756

-1.262

2.808

H2412R9

24

12

10

3.603

6.480

-0.839

1.400

H2412R10

36

12

1

2.890

5.603

-0.828

2.622

H3612R1

36

12

2

5.034

4.830

-1.179

3.367

H3612R2

36

12

3

6.142

4.432

-1.437

4.403

H3612R3

36

12

4

6.621

4.293

-1.542

4.966

H3612R4

36

12

5

6.909

4.217

-1.564

4.791

H3612R5

36

12

6

7.207

4.158

-1.510

4.439

H3612R6

36

12

7

7.018

4.264

-1.551

4.450

H3612R7

36

12

8

6.881

4.404

-1.547

4.439

H3612R8

36

12

9

6.152

4.714

-1.454

4.048

H3612R9

36

12

10

3.627

5.291

-1.150

3.334

H3612R10

1

24

1

12.554

39.849

3.248

25.359

H124R1

1

24

2

14.192

33.238

3.090

26.919

H124R2

1

24

3

15.237

30.184

3.145

30.245

H124R3

1

24

4

15.663

27.005

2.215

19.765

H124R4

1

24

5

16.520

26.028

2.289

21.646

H124R5

1

24

6

16.739

24.812

1.960

20.340

H124R6

1

24

7

16.808

23.061

0.777

10.889

H124R7

1

24

8

17.154

23.007

0.601

8.375

H124R8

1

24

9

18.933

23.146

-0.148

4.664

H124R9

1

24

10

19.813

24.841

-0.217

3.236

H124R10

3

24

1

-0.046

23.013

1.721

12.342

H324R1

3

24

2

5.339

19.536

1.568

13.479

H324R2

3

24

3

7.815

18.004

1.869

17.612

H324R3

3

24

4

9.033

16.826

1.924

18.978

H324R4

3

24

5

10.195

15.962

1.806

18.021

H324R5

3

24

6

10.602

15.522

1.600

17.796

H324R6

3

24

7

10.726

14.734

0.770

10.393

H324R7

3

24

8

11.050

14.527

0.435

7.703

H324R8

3

24

9

11.114

14.488

-0.112

3.894

H324R9

3

24

10

10.043

15.908

-0.240

2.468

H324R10

6

24

1

-0.880

14.914

0.362

2.486

H624R1

6

24

2

3.502

12.676

0.131

3.613

H624R2

6

24

3

5.944

11.797

0.107

4.845

H624R3

6

24

4

7.446

11.066

0.078

5.078

H624R4

6

24

5

8.566

10.680

-0.049

4.709

H624R5

6

24

6

8.703

10.453

-0.267

4.493

H624R6

6

24

7

9.041

10.304

-0.410

3.872

H624R7

6

24

8

9.228

10.253

-0.451

2.876

H624R8

6

24

9

8.888

10.533

-0.471

1.636

H624R9

6

24

10

7.057

11.578

-0.334

1.471

H624R10

12

24

1

0.865

10.212

0.144

2.172

H1224R1

12

24

2

3.994

8.754

-0.248

3.053

H1224R2

12

24

3

5.779

8.155

-0.233

3.907

H1224R3

12

24

4

7.006

7.839

-0.392

4.491

H1224R4

12

24

5

7.654

7.708

-0.553

4.028

H1224R5

12

24

6

7.939

7.625

-0.664

4.228

H1224R6

12

24

7

7.939

7.662

-0.897

3.328

H1224R7

12

24

8

7.677

7.718

-0.868

2.666

H1224R8

12

24

9

6.806

7.961

-0.848

1.768

H1224R9

12

24

10

4.114

8.668

-0.632

0.722

H1224R10

24

24

1

3.047

7.334

-0.555

1.484

H2424R1

24

24

2

4.957

6.162

-1.056

2.827

H2424R2

24

24

3

6.059

5.757

-1.240

3.766

H2424R3

24

24

4

6.830

5.450

-1.231

3.625

H2424R4

24

24

5

7.250

5.349

-1.392

4.226

H2424R5

24

24

6

7.433

5.304

-1.371

3.876

H2424R6

24

24

7

7.190

5.467

-1.513

4.220

H2424R7

24

24

8

7.065

5.505

-1.403

3.660

H2424R8

24

24

9

6.047

5.729

-1.224

2.683

H2424R9

24

24

10

3.091

6.334

-1.060

2.172

H2424R10

36

24

1

4.570

5.909

-0.809

2.530

H3624R1

36

24

2

5.900

4.952

-1.269

3.580

H3624R2

36

24

3

6.655

4.567

-1.439

4.332

H3624R3

36

24

4

7.144

4.372

-1.515

4.674

H3624R4

36

24

5

7.410

4.199

-1.530

4.688

H3624R5

36

24

6

7.486

4.176

-1.494

4.313

H3624R6

36

24

7

7.220

4.306

-1.653

4.836

H3624R7

36

24

8

6.950

4.360

-1.590