Harvey and Siddique: Conditional Skewness in Asset Pricing Tests

Supplementary Results

Momentum over the period 1963.07 to 1997.12 Equally Weighted

Holding

Momentum

portfolio

Mean

Std Dev

Skewness

Kurtosis

Variable

1

3

1

-0.1248

23.45716

0.274221

2.497842

H13R1

1

3

2

12.2988

20.274

0.080926

3.258354

H13R2

1

3

3

14.898

18.4363

-0.008325

3.543594

H13R3

1

3

4

16.8048

17.2876

0.023965

3.219704

H13R4

1

3

5

15.3912

17.20585

0.072206

4.085249

H13R5

1

3

6

16.9404

16.64501

-0.145547

3.852325

H13R6

1

3

7

17.178

17.76218

-0.190116

5.236899

H13R7

1

3

8

13.2816

20.1202

-0.431208

3.244835

H13R8

1

3

9

0.2256

25.52177

-0.518139

1.301492

H13R9

1

3

10

0.4368

27.66466

0.089743

1.70388

H13R10

3

3

1

-7.6368

15.84549

-0.116058

0.540098

H33R1

3

3

2

5.2572

13.37594

-0.304718

1.00959

H33R2

3

3

3

8.3376

12.0426

-0.354304

1.12526

H33R3

3

3

4

10.1724

11.3962

-0.298346

1.038066

H33R4

3

3

5

9.6924

11.03455

-0.272601

1.020015

H33R5

3

3

6

10.764

11.02173

-0.350531

1.09024

H33R6

3

3

7

10.05

11.33281

-0.348401

1.363464

H33R7

3

3

8

6.99

12.63219

-0.451602

1.004649

H33R8

3

3

9

-6.99

19.05637

-1.059624

1.691768

H33R9

3

3

10

-12.2304

19.75265

-0.316351

0.169678

H33R10

6

3

1

-6.7932

11.37611

-0.074936

-0.13085

H63R1

6

3

2

3.6876

9.590365

-0.210741

0.111129

H63R2

6

3

3

6.6516

8.683117

-0.225607

0.234423

H63R3

6

3

4

8.1756

8.30172

-0.233039

0.260447

H63R4

6

3

5

8.094

8.195718

-0.220905

0.276162

H63R5

6

3

6

9.0372

8.059925

-0.249391

0.27436

H63R6

6

3

7

8.2548

8.234516

-0.250697

0.382467

H63R7

6

3

8

7.0344

8.689006

-0.21385

0.295291

H63R8

6

3

9

-6.6072

15.82575

-1.854491

5.570526

H63R9

6

3

10

-13.3464

16.66856

-0.993444

1.254685

H63R10

12

3

1

-4.4916

7.745731

-0.240085

-0.14312

H123R1

12

3

2

3.2424

6.570015

-0.398701

0.029425

H123R2

12

3

3

5.9232

6.006059

-0.445553

0.243105

H123R3

12

3

4

7.0632

5.673159

-0.486504

0.291219

H123R4

12

3

5

7.0968

5.606302

-0.503119

0.416723

H123R5

12

3

6

7.848

5.593831

-0.466274

0.340246

H123R6

12

3

7

7.206

5.602492

-0.516575

0.421423

H123R7

12

3

8

6.5628

5.902829

-0.466642

0.355849

H123R8

12

3

9

1.6572

8.696974

-1.932858

7.44862

H123R9

12

3

10

-14.7216

16.35056

-2.089567

4.646498

H123R10

24

3

1

-0.9048

5.307004

-0.085932

-0.02053

H243R1

24

3

2

3.9372

4.472848

-0.500523

0.360903

H243R2

24

3

3

5.8248

4.102189

-0.590886

0.628519

H243R3

24

3

4

6.6708

3.905775

-0.722807

0.960862

H243R4

24

3

5

7.0896

3.811897

-0.780542

0.816731

H243R5

24

3

6

7.0884

3.832336

-0.835912

0.794728

H243R6

24

3

7

6.9048

3.871134

-0.758248

0.671117

H243R7

24

3

8

6.4584

4.035678

-0.767454

0.642646

H243R8

24

3

9

5.1864

4.364422

-0.585963

0.19095

H243R9

24

3

10

-1.2504

6.246814

-0.820344

0.806869

H243R10

36

3

1

-0.8952

5.313585

-0.087267

-0.02746

H363R1

36

3

2

3.9276

4.478391

-0.49823

0.352028

H363R2

36

3

3

5.8176

4.107039

-0.588656

0.618776

H363R3

36

3

4

6.6612

3.910278

-0.719995

0.950245

H363R4

36

3

5

7.0704

3.815362

-0.776599

0.808534

H363R5

36

3

6

7.0704

3.8358

-0.832019

0.785889

H363R6

36

3

7

6.8844

3.874251

-0.754271

0.663423

H363R7

36

3

8

6.4416

4.039835

-0.763747

0.633698

H363R8

36

3

9

5.1744

4.369618

-0.583109

0.182468

H363R9

36

3

10

-1.0812

6.179611

-0.797657

0.775652

H363R10

1

6

1

0.186

25.50861

0.641336

3.998327

H16R1

1

6

2

10.7484

21.42859

0.427351

4.151672

H16R2

1

6

3

15.18

19.26941

0.30779

4.484809

H16R3

1

6

4

16.1616

17.95201

0.145771

4.130561

H16R4

1

6

5

15.5556

17.03126

0.016203

4.037051

H16R5

1

6

6

17.0844

16.79881

-0.255078

4.130967

H16R6

1

6

7

17.1684

17.21624

-0.55293

4.440833

H16R7

1

6

8

16.596

18.44357

-0.534844

3.936269

H16R8

1

6

9

7.6212

22.08711

-0.419965

1.833911

H16R9

1

6

10

10.14

24.04433

-0.244706

1.862891

H16R10

3

6

1

-10.398

16.25564

0.034342

0.852458

H36R1

3

6

2

3.0708

13.97315

-0.08143

1.111116

H36R2

3

6

3

7.7496

12.55598

-0.192852

1.305023

H36R3

3

6

4

9.5688

11.62864

-0.282017

1.348126

H36R4

3

6

5

9.7584

11.07543

-0.268273

1.232193

H36R5

3

6

6

10.9464

10.80938

-0.410094

1.2134

H36R6

3

6

7

10.8972

11.05845

-0.486211

1.320166

H36R7

3

6

8

10.2852

11.68684

-0.46875

1.108958

H36R8

3

6

9

1.2312

15.17831

-0.616345

0.64343

H36R9

3

6

10

-1.8348

16.8151

-0.231253

-0.01876

H36R10

6

6

1

-9.7392

11.42184

-0.083203

0.087891

H66R1

6

6

2

1.3308

9.907677

-0.148628

0.374618

H66R2

6

6

3

5.4252

8.976873

-0.195975

0.390902

H66R3

6

6

4

7.4328

8.470768

-0.208777

0.431947

H66R4

6

6

5

8.3844

8.124704

-0.2448

0.466954

H66R5

6

6

6

9.0252

7.902655

-0.264367

0.298116

H66R6

6

6

7

9.2076

8.011081

-0.282205

0.376412

H66R7

6

6

8

9.1308

8.45899

-0.271697

0.144891

H66R8

6

6

9

2.7108

11.1797

-0.805417

1.377552

H66R9

6

6

10

-4.5384

13.79509

-0.493056

0.020361

H66R10

12

6

1

-6.708

7.797693

-0.218744

0.078115

H126R1

12

6

2

1.4484

6.709272

-0.373089

0.122711

H126R2

12

6

3

4.8648

6.142545

-0.438584

0.445744

H126R3

12

6

4

6.7272

5.800292

-0.455034

0.46968

H126R4

12

6

5

7.5228

5.583439

-0.514417

0.585352

H126R5

12

6

6

8.1636

5.447646

-0.53025

0.486485

H126R6

12

6

7

8.2272

5.489562

-0.529164

0.408184

H126R7

12

6

8

7.9356

5.738977

-0.568251

0.328776

H126R8

12

6

9

6.4044

6.362515

-0.444871

0.012161

H126R9

12

6

10

-5.676

11.23096

-1.253043

1.920239

H126R10

24

6

1

-1.668

5.428594

-0.006206

0.23918

H246R1

24

6

2

3.2556

4.564993

-0.368084

0.380737

H246R2

24

6

3

5.3052

4.172164

-0.506734

0.613994

H246R3

24

6

4

6.5868

3.920324

-0.667366

0.879443

H246R4

24

6

5

7.3368

3.783145

-0.796204

0.944189

H246R5

24

6

6

7.6032

3.74989

-0.80354

0.767387

H246R6

24

6

7

7.4352

3.821943

-0.825418

0.741479

H246R7

24

6

8

7.23

3.98337

-0.819577

0.517318

H246R8

24

6

9

6.2532

4.28059

-0.740338

0.25524

H246R9

24

6

10

2.0316

5.060013

-0.424265

-0.33729

H246R10

36

6

1

0.534

4.289943

0.116107

-0.78742

H366R1

36

6

2

4.2888

3.549665

-0.162499

-0.63763

H366R2

36

6

3

5.7648

3.180045

-0.379952

-0.49578

H366R3

36

6

4

6.5952

2.973238

-0.495613

-0.27603

H366R4

36

6

5

7.17

2.884211

-0.55021

-0.18042

H366R5

36

6

6

7.3152

2.850609

-0.600151

-0.08567

H366R6

36

6

7

7.1448

2.893564

-0.665855

0.025701

H366R7

36

6

8

6.954

3.083397

-0.605293

-0.06585

H366R8

36

6

9

6.072

3.323459

-0.496291

-0.24281

H366R9

36

6

10

2.418

3.99792

-0.166063

-0.47561

H366R10

1

12

1

1.4112

27.24551

0.924891

4.506919

H112R1

1

12

2

8.8908

21.57027

0.325497

3.831788

H112R2

1

12

3

12.7896

19.16687

0.304896

4.344267

H112R3

1

12

4

14.3004

17.57304

0.037015

4.226721

H112R4

1

12

5

14.5932

17.09222

-0.162619

4.584883

H112R5

1

12

6

16.8636

16.99246

-0.236644

5.228373

H112R6

1

12

7

18.5784

17.34268

-0.486538

4.414425

H112R7

1

12

8

19.8828

18.06598

-0.580563

4.215873

H112R8

1

12

9

18.2724

20.76175

-0.41588

3.091536

H112R9

1

12

10

16.3284

24.22065

-0.283678

1.949694

H112R10

3

12

1

-11.2572

16.94188

0.135056

0.944402

H312R1

3

12

2

1.05

13.96379

-0.231453

1.15667

H312R2

3

12

3

5.8068

12.43716

-0.240218

1.240931

H312R3

3

12

4

8.3388

11.58257

-0.34639

1.389355

H312R4

3

12

5

9.4908

11.05811

-0.38185

1.521829

H312R5

3

12

6

10.9608

10.81042

-0.400916

1.42093

H312R6

3

12

7

12.3888

10.97081

-0.464722

1.210401

H312R7

3

12

8

13.488

11.65462

-0.433759

1.252596

H312R8

3

12

9

11.3952

13.02156

-0.353712

0.714235

H312R9

3

12

10

4.6908

16.18705

-0.171312

-0.10548

H312R10

6

12

1

-10.6968

11.94422

-0.035362

-0.00875

H612R1

6

12

2

0.1368

9.98458

-0.182281

0.362813

H612R2

6

12

3

4.4976

9.019828

-0.242887

0.543649

H612R3

6

12

4

6.9156

8.421924

-0.275055

0.643624

H612R4

6

12

5

8.196

8.041565

-0.21041

0.62614

H612R5

6

12

6

9.5916

7.768594

-0.216787

0.344766

H612R6

6

12

7

10.74

7.830948

-0.274017

0.222274

H612R7

6

12

8

11.0064

8.289942

-0.25166

0.154089

H612R8

6

12

9

10.1856

9.010128

-0.22456

-0.0209

H612R9

6

12

10

1.368

12.23036

-0.262178

-0.36341

H612R10

12

12

1

-6.0552

7.778987

-0.189031

-0.10784

H1212R1

12

12

2

1.3644

6.647265

-0.394902

0.150837

H1212R2

12

12

3

4.7556

6.010563

-0.472797

0.469509

H1212R3

12

12

4

6.5964

5.605263

-0.419973

0.523762

H1212R4

12

12

5

7.812

5.458385

-0.411589

0.699395

H1212R5

12

12

6

8.5224

5.369704

-0.457957

0.537375

H1212R6

12

12

7

9.0528

5.499608

-0.520795

0.453572

H1212R7

12

12

8

9.0216

5.725467

-0.495591

0.153444

H1212R8

12

12

9

7.992

6.255475

-0.466874

0.0936

H1212R9

12

12

10

0.9732

8.149992

-0.452054

-0.27491

H1212R10

24

12

1

-0.876

5.428594

0.013078

-0.0978

H2412R1

24

12

2

3.2532

4.479083

-0.393053

-0.03538

H2412R2

24

12

3

5.4516

4.014547

-0.507746

0.185593

H2412R3

24

12

4

6.7932

3.730491

-0.609455

0.385655

H2412R4

24

12

5

7.452

3.628993

-0.673549

0.592067

H2412R5

24

12

6

7.9572

3.650817

-0.819937

0.860004

H2412R6

24

12

7

8.064

3.838571

-0.840114

0.804406

H2412R7

24

12

8

7.6836

4.035678

-0.838528

0.757593

H2412R8

24

12

9

6.8208

4.426083

-0.765437

0.634466

H2412R9

24

12

10

2.1804

5.155969

-0.552068

0.130664

H2412R10

36

12

1

1.4784

4.427122

0.074603

-0.93069

H3612R1

36

12

2

4.5384

3.575646

-0.165724

-0.89002

H3612R2

36

12

3

6.0672

3.152679

-0.355718

-0.6429

H3612R3

36

12

4

6.8832

2.923009

-0.451345

-0.54334

H3612R4

36

12

5

7.3332

2.833982

-0.514985

-0.27905

H3612R5

36

12

6

7.7184

2.819779

-0.63256

-0.04667

H3612R6

36

12

7

7.7004

2.929937

-0.687249

0.09536

H3612R7

36

12

8

7.284

3.040096

-0.679048

0.171641

H3612R8

36

12

9

6.4848

3.333851

-0.600438

0.167337

H3612R9

36

12

10

2.1504

3.955658

-0.317779

-0.22606

H3612R10

1

24

1

10.842

29.30838

1.256061

5.952755

H124R1

1

24

2

11.928

22.21217

0.772699

6.008225

H124R2

1

24

3

14.4744

19.70381

0.394115

6.133045

H124R3

1

24

4

15.1488

18.19762

0.395594

6.448015

H124R4

1

24

5

15.8892

17.25227

0.233758

6.183087

H124R5

1

24

6

16.7304

16.67064

-0.363728

4.484897

H124R6

1

24

7

17.76

16.75725

-0.516878

4.322544

H124R7

1

24

8

18.2964

17.59971

-0.781627

4.15772

H124R8

1

24

9

20.3268

19.43603

-0.704081

3.16381

H124R9

1

24

10

18.9804

22.60049

-0.628715

2.338227

H124R10

3

24

1

-4.4868

17.9198

0.25408

0.919828

H324R1

3

24

2

3.186

14.34138

-0.017652

1.459542

H324R2

3

24

3

7.3044

12.69281

-0.140542

1.744446

H324R3

3

24

4

9.036

11.58465

-0.217423

1.624247

H324R4

3

24

5

10.5624

11.03109

-0.265152

1.517133

H324R5

3

24

6

11.5764

10.64761

-0.437656

1.347549

H324R6

3

24

7

12.0012

10.6819

-0.494096

1.01552

H324R7

3

24

8

12.3228

11.20117

-0.644076

1.354729

H324R8

3

24

9

12.5652

12.20645

-0.505718

0.883989

H324R9

3

24

10

9.7512

14.49449

-0.388839

0.553571

H324R10

6

24

1

-4.7148

12.34571

0.042511

-0.09799

H624R1

6

24

2

1.9296

10.14497

-0.134499

0.425646

H624R2

6

24

3

5.7276

9.095345

-0.176877

0.657574

H624R3

6

24

4

7.7064

8.257033

-0.178184

0.695229

H624R4

6

24

5

9.2124

7.933486

-0.195076

0.653496

H624R5

6

24

6

9.936

7.719058

-0.266107

0.412223

H624R6

6

24

7

10.35

7.76513

-0.326886

0.340085

H624R7

6

24

8

10.716

8.117429

-0.380836

0.267107

H624R8

6

24

9

10.2096

8.894427

-0.324394

0.239223

H624R9

6

24

10

6.9552

10.4318

-0.257971

0.123305

H624R10

12

24

1

-1.7568

7.951499

-0.069004

-0.43298

H1224R1

12

24

2

2.64

6.54542

-0.37209

-0.11588

H1224R2

12

24

3

5.4624

5.825233

-0.356817

0.253866

H1224R3

12

24

4

7.2396

5.454228

-0.399771

0.380597

H1224R4

12

24

5

8.346

5.352383

-0.467958

0.53177

H1224R5

12

24

6

8.9412

5.300422

-0.547415

0.491015

H1224R6

12

24

7

9.1752

5.481594

-0.61795

0.525771

H1224R7

12

24

8

9.0036

5.801331

-0.661008

0.697473

H1224R8

12

24

9

8.0424

6.374293

-0.618742

0.644163

H1224R9

12

24

10

3.4728

7.418374

-0.526711

0.447575

H1224R10

24

24

1

2.058

5.78505

-0.050649

-0.44348

H2424R1

24

24

2

4.4376

4.636007

-0.364261

-0.55625

H2424R2

24

24

3

5.9988

4.128516

-0.506544

-0.37789

H2424R3

24

24

4

7.2432

3.766518

-0.55563

-0.16301

H2424R4

24

24

5

7.8756

3.649085

-0.637772

0.300959

H2424R5

24

24

6

8.4096

3.661209

-0.751062

0.684078

H2424R6

24

24

7

8.364

3.765825

-0.920967

1.261113

H2424R7

24

24

8

8.0688

3.953926

-0.952393

1.41577

H2424R8

24

24

9

6.804

4.323892

-1.001327

1.562125

H2424R9

24

24

10

2.0964

4.999391

-0.844416

0.816047

H2424R10

36

24

1

3.8256

4.800206

-0.078185

-0.73461

H3624R1

36

24

2

5.6016

3.795963

-0.293139

-0.67656

H3624R2

36

24

3

6.7548

3.291243

-0.378949

-0.55352

H3624R3

36

24

4

7.5792

2.956611

-0.44754

-0.42451

H3624R4

36

24

5

7.8444

2.823243

-0.544406

-0.18055

H3624R5

36

24

6

8.1528

2.761235

-0.613116

-0.20664

H3624R6

36

24

7

7.9656

2.818393

-0.68344

-0.05547

H3624R7

36

24

8

7.5456

2.941715

-0.666905

-0.11092

H3624R8

36

24

9