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We explore the cross-section of realized variance, skewness, and kurtosis for stock returns obtained from intraday data. We investigate the properties of the realized higher moments, and more importantly, examine relations between the realized moments and subsequent stock returns. We find evidence of a negative relation between realized skewness and next week’s returns. A strategy buying stocks in the lowest realized skewness quintile and selling stocks in the highest realized skewness quintile earns 0.79 percent per week a risk-adjusted basis. Our results on the realized skewness are robust to controls for various firm characteristics such as size and book-to-market. Little evidence exists that either the realized volatility or the realized kurtosis is significantly related to next week’s returns.

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.