Coskewness
Coskewness — Harvey and Siddique 2000
Risk
Quick facts
| Factor ID | Coskewness |
| Display name | Coskewness |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Harvey and Siddique 2000 |
| Source tables | daily;index_daily |
| Required fields | ret;mkt_ret |
| PIT required | no |
| Coverage | 2011-01-27 – 2026-05-15 · 617,458 rows · 90.1% of panel |
Formula
E[(ret-mu_r)(mkt-mu_m)^2] / (sd(ret) * var(mkt)) over t-252..t-1
Harvey-Siddique sample coskewness using a rolling 252-day window over daily returns.
China adaptation
Uses the CSI 300 as the market factor; the original paper uses CRSP NYSE-AMEX VW.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.5526% |
| Monthly std | 3.4224% |
| Annualized Sharpe | 0.56 |
| t-stat (simple) | 2.19 |
| Hit rate (months > 0) | 55.4% |
| Last 12M compounded | -1.12% |
| Cumulative wealth (start = 1) | 2.477 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.78% | 2.461 | 5046 |
| 2025-06 | -0.69% | 2.444 | 5055 |
| 2025-07 | -5.61% | 2.307 | 5057 |
| 2025-08 | -0.95% | 2.285 | 5061 |
| 2025-09 | +4.86% | 2.396 | 5069 |
| 2025-10 | -0.55% | 2.383 | 5075 |
| 2025-11 | +0.49% | 2.394 | 5081 |
| 2025-12 | +3.45% | 2.477 | 5088 |
| 2026-01 | +1.40% | 2.512 | 5095 |
| 2026-02 | -0.38% | 2.502 | 5099 |
| 2026-03 | +1.52% | 2.540 | 5104 |
| 2026-04 | -2.48% | 2.477 | 5100 |
Known data issues
Sensitive to market index choice and to long stock-level suspensions.
Notes
Daily-frequency rolling estimator chosen for tractability in a post-2010 China sample.
See also: Risk family, Factor library, Factor returns.