Harvey and Siddique: Conditional Skewness in Asset Pricing Tests

Supplementary Results

Momentum over the period 1951.01 to 1997.12 Equally Weighted

Holding

Momentum

portfolio

Mean

Std Dev

Skewness

Kurtosis

Variable

1

3

1

0.320

21.638

0.239

2.843

H13R1

1

3

2

11.508

18.762

0.096

3.534

H13R2

1

3

3

14.069

17.102

0.004

3.764

H13R3

1

3

4

16.008

16.090

0.034

3.375

H13R4

1

3

5

15.085

16.025

0.055

4.209

H13R5

1

3

6

16.554

15.580

-0.122

3.858

H13R6

1

3

7

16.712

16.429

-0.185

5.492

H13R7

1

3

8

14.298

18.461

-0.437

3.689

H13R8

1

3

9

4.966

23.076

-0.630

1.980

H13R9

1

3

10

5.316

24.943

-0.028

2.311

H13R10

3

3

1

-4.434

14.426

-0.252

1.022

H33R1

3

3

2

6.181

12.220

-0.351

1.480

H33R2

3

3

3

8.708

11.063

-0.394

1.559

H33R3

3

3

4

10.420

10.508

-0.345

1.475

H33R4

3

3

5

10.306

10.220

-0.323

1.391

H33R5

3

3

6

11.141

10.179

-0.397

1.466

H33R6

3

3

7

10.573

10.449

-0.409

1.753

H33R7

3

3

8

8.644

11.600

-0.538

1.466

H33R8

3

3

9

-1.488

17.094

-1.293

2.825

H33R9

3

3

10

-5.663

17.854

-0.549

0.767

H33R10

6

3

1

-3.461

10.503

-0.223

0.162

H63R1

6

3

2

5.149

8.870

-0.273

0.399

H63R2

6

3

3

7.477

8.090

-0.284

0.483

H63R3

6

3

4

8.886

7.715

-0.288

0.487

H63R4

6

3

5

8.912

7.656

-0.276

0.489

H63R5

6

3

6

9.710

7.520

-0.293

0.474

H63R6

6

3

7

9.078

7.665

-0.320

0.632

H63R7

6

3

8

8.341

8.105

-0.289

0.515

H63R8

6

3

9

-1.532

14.143

-2.137

7.700

H63R9

6

3

10

-6.784

15.032

-1.265

2.353

H63R10

12

3

1

-1.505

7.268

-0.333

0.162

H123R1

12

3

2

4.843

6.170

-0.408

0.264

H123R2

12

3

3

7.045

5.634

-0.427

0.435

H123R3

12

3

4

8.044

5.327

-0.448

0.482

H123R4

12

3

5

8.116

5.278

-0.462

0.570

H123R5

12

3

6

8.765

5.257

-0.439

0.497

H123R6

12

3

7

8.233

5.260

-0.480

0.622

H123R7

12

3

8

7.812

5.552

-0.449

0.563

H123R8

12

3

9

4.288

7.909

-2.031

8.994

H123R9

12

3

10

-7.979

14.557

-2.471

7.139

H123R10

24

3

1

1.450

4.894

-0.293

0.317

H243R1

24

3

2

5.591

4.114

-0.628

0.877

H243R2

24

3

3

7.148

3.767

-0.680

1.166

H243R3

24

3

4

7.842

3.600

-0.776

1.477

H243R4

24

3

5

8.174

3.492

-0.849

1.391

H243R5

24

3

6

8.298

3.527

-0.901

1.380

H243R6

24

3

7

8.084

3.550

-0.834

1.255

H243R7

24

3

8

7.727

3.706

-0.848

1.226

H243R8

24

3

9

6.833

4.029

-0.688

0.734

H243R9

24

3

10

1.682

5.704

-1.051

1.675

H243R10

36

3

1

1.460

4.898

-0.294

0.313

H363R1

36

3

2

5.587

4.118

-0.626

0.870

H363R2

36

3

3

7.145

3.770

-0.679

1.158

H363R3

36

3

4

7.837

3.603

-0.774

1.468

H363R4

36

3

5

8.162

3.494

-0.847

1.384

H363R5

36

3

6

8.287

3.530

-0.898

1.373

H363R6

36

3

7

8.071

3.552

-0.832

1.249

H363R7

36

3

8

7.717

3.709

-0.845

1.218

H363R8

36

3

9

6.827

4.033

-0.686

0.727

H363R9

36

3

10

1.811

5.644

-1.024

1.622

H363R10

1

6

1

0.258

23.439

0.651

4.543

H16R1

1

6

2

10.408

19.761

0.428

4.596

H16R2

1

6

3

14.238

17.832

0.339

4.831

H16R3

1

6

4

15.398

16.724

0.158

4.350

H16R4

1

6

5

15.383

15.896

0.034

4.148

H16R5

1

6

6

16.439

15.634

-0.241

4.249

H16R6

1

6

7

16.963

15.990

-0.512

4.597

H16R7

1

6

8

16.744

17.053

-0.517

4.186

H16R8

1

6

9

10.608

20.124

-0.502

2.356

H16R9

1

6

10

13.027

21.959

-0.332

2.302

H16R10

3

6

1

-7.198

14.878

-0.089

1.253

H36R1

3

6

2

4.402

12.792

-0.154

1.557

H36R2

3

6

3

8.209

11.473

-0.234

1.791

H36R3

3

6

4

9.872

10.719

-0.311

1.768

H36R4

3

6

5

10.345

10.242

-0.310

1.613

H36R5

3

6

6

11.246

10.001

-0.450

1.597

H36R6

3

6

7

11.459

10.191

-0.536

1.744

H36R7

3

6

8

11.158

10.784

-0.527

1.490

H36R8

3

6

9

4.764

13.783

-0.777

1.289

H36R9

3

6

10

2.750

15.326

-0.405

0.423

H36R10

6

6

1

-6.221

10.645

-0.216

0.334

H66R1

6

6

2

3.199

9.202

-0.240

0.629

H66R2

6

6

3

6.517

8.292

-0.265

0.683

H66R3

6

6

4

8.270

7.874

-0.261

0.673

H66R4

6

6

5

9.151

7.577

-0.287

0.677

H66R5

6

6

6

9.732

7.401

-0.310

0.486

H66R6

6

6

7

10.060

7.480

-0.335

0.585

H66R7

6

6

8

10.057

7.864

-0.330

0.385

H66R8

6

6

9

5.443

10.195

-0.931

2.033

H66R9

6

6

10

0.319

12.563

-0.697

0.609

H66R10

12

6

1

-3.553

7.397

-0.273

0.325

H126R1

12

6

2

3.362

6.301

-0.388

0.386

H126R2

12

6

3

6.127

5.735

-0.432

0.690

H126R3

12

6

4

7.738

5.442

-0.414

0.676

H126R4

12

6

5

8.508

5.275

-0.456

0.714

H126R5

12

6

6

9.031

5.120

-0.493

0.649

H126R6

12

6

7

9.211

5.164

-0.492

0.590

H126R7

12

6

8

8.930

5.389

-0.559

0.518

H126R8

12

6

9

7.896

5.970

-0.471

0.241

H126R9

12

6

10

-0.983

10.196

-1.484

3.118

H126R10

24

6

1

0.734

5.001

-0.220

0.548

H246R1

24

6

2

5.009

4.196

-0.511

0.872

H246R2

24

6

3

6.688

3.812

-0.622

1.193

H246R3

24

6

4

7.831

3.604

-0.743

1.435

H246R4

24

6

5

8.431

3.484

-0.830

1.500

H246R5

24

6

6

8.634

3.441

-0.859

1.316

H246R6

24

6

7

8.603

3.511

-0.901

1.318

H246R7

24

6

8

8.400

3.663

-0.882

1.056

H246R8

24

6

9

7.667

3.950

-0.817

0.781

H246R9

24

6

10

4.259

4.716

-0.567

0.082

H246R10

36

6

1

2.844

3.912

-0.231

-0.524

H366R1

36

6

2

6.078

3.247

-0.450

-0.216

H366R2

36

6

3

7.274

2.911

-0.625

0.029

H366R3

36

6

4

7.988

2.725

-0.719

0.296

H366R4

36

6

5

8.400

2.641

-0.747

0.398

H366R5

36

6

6

8.543

2.616

-0.792

0.483

H366R6

36

6

7

8.479

2.670

-0.855

0.597

H366R7

36

6

8

8.254

2.827

-0.798

0.509

H366R8

36

6

9

7.633

3.074

-0.690

0.242

H366R9

36

6

10

4.662

3.744

-0.412

-0.199

H366R10

1

12

1

1.715

25.016

0.919

5.047

H112R1

1

12

2

8.650

19.997

0.347

4.198

H112R2

1

12

3

12.132

17.730

0.334

4.727

H112R3

1

12

4

13.802

16.280

0.065

4.531

H112R4

1

12

5

14.531

15.855

-0.136

4.795

H112R5

1

12

6

16.646

15.777

-0.226

5.373

H112R6

1

12

7

18.059

16.085

-0.450

4.598

H112R7

1

12

8

19.064

16.754

-0.538

4.359

H112R8

1

12

9

18.618

19.067

-0.424

3.470

H112R9

1

12

10

17.752

22.093

-0.337

2.394

H112R10

3

12

1

-7.858

15.530

0.015

1.326

H312R1

3

12

2

2.641

12.835

-0.304

1.604

H312R2

3

12

3

6.684

11.442

-0.290

1.670

H312R3

3

12

4

8.868

10.642

-0.367

1.828

H312R4

3

12

5

10.129

10.185

-0.436

1.941

H312R5

3

12

6

11.458

9.992

-0.447

1.795

H312R6

3

12

7

12.656

10.136

-0.487

1.557

H312R7

3

12

8

13.625

10.688

-0.463

1.662

H312R8

3

12

9

12.398

11.892

-0.430

1.157

H312R9

3

12

10

7.650

14.707

-0.308

0.329

H312R10

6

12

1

-7.024

11.142

-0.152

0.236

H612R1

6

12

2

2.195

9.319

-0.272

0.589

H612R2

6

12

3

5.746

8.381

-0.299

0.802

H612R3

6

12

4

7.862

7.836

-0.308

0.870

H612R4

6

12

5

9.106

7.464

-0.261

0.857

H612R5

6

12

6

10.266

7.249

-0.262

0.534

H612R6

6

12

7

11.272

7.308

-0.301

0.408

H612R7

6

12

8

11.489

7.671

-0.298

0.401

H612R8

6

12

9

11.010

8.362

-0.304

0.244

H612R9

6

12

10

4.676

11.184

-0.434

0.032

H612R10

12

12

1

-2.984

7.416

-0.218

0.139

H1212R1

12

12

2

3.496

6.287

-0.392

0.419

H1212R2

12

12

3

6.217

5.642

-0.432

0.755

H1212R3

12

12

4

7.738

5.283

-0.377

0.706

H1212R4

12

12

5

8.770

5.135

-0.364

0.853

H1212R5

12

12

6

9.368

5.065

-0.422

0.635

H1212R6

12

12

7

9.749

5.164

-0.487

0.582

H1212R7

12

12

8

9.732

5.359

-0.503

0.308

H1212R8

12

12

9

8.934

5.839

-0.488

0.286

H1212R9

12

12

10

3.636

7.561

-0.561

0.105

H1212R10

24

12

1

1.382

4.994

-0.180

0.216

H2412R1

24

12

2

5.076

4.125

-0.539

0.470

H2412R2

24

12

3

6.935

3.713

-0.599

0.676

H2412R3

24

12

4

8.005

3.448

-0.664

0.877

H2412R4

24

12

5

8.530

3.347

-0.719

1.087

H2412R5

24

12

6

8.987

3.347

-0.885

1.439

H2412R6

24

12

7

9.031

3.509

-0.901

1.375

H2412R7

24

12

8

8.753

3.676

-0.927

1.389

H2412R8

24

12

9

7.994

4.043

-0.852

1.193

H2412R9

24

12

10

4.304

4.841

-0.635

0.484

H2412R10

36

12

1

3.631

3.988

-0.262

-0.586

H3612R1

36

12

2

6.329

3.253

-0.470

-0.448

H3612R2

36

12

3

7.601

2.879

-0.613

-0.101

H3612R3

36

12

4

8.227

2.679

-0.674

-0.001

H3612R4

36

12

5

8.528

2.600

-0.705

0.251

H3612R5

36

12

6

8.839

2.588

-0.809

0.502

H3612R6

36

12

7

8.791

2.698

-0.836

0.606

H3612R7

36

12

8

8.500

2.787

-0.856

0.758

H3612R8

36

12

9

7.836

3.066

-0.765

0.694

H3612R9

36

12

10

4.385

3.747

-0.491

0.055

H3612R10

1

24

1

9.761

26.775

1.288

6.770

H124R1

1

24

2

11.726

20.498

0.783

6.466

H124R2

1

24

3

13.836

18.161

0.412

6.590

H124R3

1

24

4

14.582

16.736

0.413

6.950

H124R4

1

24

5

15.344

15.898

0.232

6.579

H124R5

1

24

6

16.267

15.474

-0.322

4.617

H124R6

1

24

7

16.942

15.658

-0.486

4.316

H124R7

1

24

8

17.618

16.363

-0.729

4.233

H124R8

1

24

9

19.570

18.025

-0.673

3.321

H124R9

1

24

10

18.941

20.899

-0.628

2.556

H124R10

3

24

1

-2.102

16.320

0.166

1.347

H324R1

3

24

2

4.817

13.143

-0.084

1.892

H324R2

3

24

3

7.943

11.612

-0.171

2.232

H324R3

3

24

4

9.678

10.613

-0.257

2.086

H324R4

3

24

5

10.906

10.090

-0.297

1.975

H324R5

3

24

6

11.651

9.825

-0.462

1.712

H324R6

3

24

7

12.022

9.908

-0.515

1.333

H324R7

3

24

8

12.547

10.369

-0.668

1.688

H324R8

3

24

9

12.782

11.264

-0.557

1.265

H324R9

3

24

10

10.793

13.383

-0.465

0.928

H324R10

6

24

1

-1.973

11.471

-0.041

0.129

H624R1

6

24

2

3.853

9.381

-0.212

0.701

H624R2

6

24

3

6.786

8.435

-0.224

0.909

H624R3

6

24

4

8.710

7.664

-0.233

0.943

H624R4

6

24

5

9.899

7.355

-0.240

0.902

H624R5

6

24

6

10.337

7.173

-0.284

0.617

H624R6

6

24

7

10.718

7.230

-0.373

0.554

H624R7

6

24

8

11.063

7.560

-0.413

0.476

H624R8

6

24

9

10.733

8.271

-0.377

0.463

H624R9

6

24

10

8.182

9.733

-0.340

0.355

H624R10

12

24

1

0.557

7.498

-0.072

-0.159

H1224R1

12

24

2

4.580

6.184

-0.363

0.166

H1224R2

12

24

3

6.698

5.542

-0.303

0.377

H1224R3

12

24

4

8.327

5.150

-0.357

0.528

H1224R4

12

24

5

9.211

5.023

-0.434

0.688

H1224R5

12

24

6

9.580

4.985

-0.473

0.613

H1224R6

12

24

7

9.743

5.096

-0.595

0.737

H1224R7

12

24

8

9.641

5.413

-0.631

0.857

H1224R8

12

24

9

8.796

5.926

-0.616

0.843

H1224R9

12

24

10

5.214

6.974

-0.560

0.639

H1224R10

24

24

1

3.818

5.230

-0.199

-0.021

H2424R1

24

24

2

6.182

4.235

-0.519

-0.039

H2424R2

24

24

3

7.339

3.806

-0.564

0.123

H2424R3

24

24

4

8.380

3.477

-0.613

0.278

H2424R4

24

24

5

8.896

3.357

-0.700

0.758

H2424R5

24

24

6

9.156

3.364

-0.780

1.120

H2424R6

24

24

7

9.104

3.427

-0.985

1.866

H2424R7

24

24

8

8.945

3.598

-1.024

2.062

H2424R8

24

24

9

7.940

3.955

-1.069

2.205

H2424R9

24

24

10

4.118

4.734

-0.867

1.122

H2424R10

36

24

1

5.351

4.257

-0.323

-0.241

H3624R1

36

24

2

7.118

3.408

-0.570

-0.130

H3624R2

36

24

3

7.991

2.990

-0.583

-0.042

H3624R3

36

24

4

8.742

2.695

-0.650

0.090

H3624R4

36

24

5

8.983

2.582

-0.733

0.365

H3624R5

36

24

6

9.128

2.515

-0.773

0.363

H3624R6

36

24

7

9.005

2.566

-0.858

0.574

H3624R7

36

24

8

8.731

2.698

-0.829

0.468

H3624R8

36

24

9