Alpha Library  /  Academic Anomalies  /  academic_retskew

academic_retskew

Harvey-Siddique 2000 return skewness — inverse 60d skew

Themes & universe

volatilityequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl(-\mathrm{skew}_{60}(r_t)\bigr)

Definition

id

academic_retskew

zoo

academic

module_path

src.factors.zoo.academic.retskew

decay_horizon

60

min_warmup_bars

61

requires_sector

False

columns_required

close

Notes

Harvey & Siddique (2000) skewness premium. Negative of the trailing 60-day sample skewness of daily simple returns, cross-sectional z-score per date for long-short ranking. Top z-scores = most negatively-skewed names, which command a return premium over lottery-like positively-skewed names. Uses a 1-day return (one extra warmup bar over the 60-day window).

Run it

pip install vibe-trading-ai
vibe-trading alpha show academic_retskew
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025