Using High-Frequency Return Variance, Skewness, and Kurtosis as Equity Factors

Summary

This brief summary of a multi-factor stock-selection report describes three ways to refine traditional factors using high-frequency returns. High-frequency return variance is presented as a closer measure of volatility than variance calculated from daily returns because it captures variation within the day. Skewness describes asymmetry in the return distribution: negative skew is associated with intraday large declines occurring more often than large rises. Kurtosis characterizes tail behavior, with high values associated with larger intraday moves in either direction.

The document frames these statistics as potential factor innovations, but provides only a summary and points to a separate report for the main text. It includes no construction details, factor tests, portfolio results, or evidence that these measures predict returns. The examples explain distributional interpretations, not a complete stock-selection method, and the claims cannot be assessed further from the supplied text alone.

Key ideas

• High-frequency return variance captures intraday variation that daily variance can miss.
• Negative return skewness indicates an asymmetric distribution with a heavier downside pattern in the example.
• High kurtosis is associated with larger intraday moves in either direction.
• The measures are presented as modifications to traditional equity factors.
• The supplied summary contains no factor methodology or empirical performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.