The neo-classical finance theory suggests that capital markets can reasonably reflect the value of listed companies, but it ignores the link between the real economy and the capital market. The current study conducts an analysis of the relevance of the stock return volatility to the company's...

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...