Does realized skewness predict the cross-section of Chinese stock returns?

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 regressions after controlling for well-known risk factors. This result is robust under many considerations. However, after controlling for relative signed jump variance, this effect disappears in China but is not reversed as in the United States.