Chen, Hong, and Stein (2000)

Chen, Joseph, Harrison Hong, and Jeremy C. Stein.  “Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices.”  NBER Working paper No. 7687, May 2000.

From the authors' abstract:  "We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the prior six months; and 2) positive returns over the prior thirty-six months."

LK comment:  Methodology described here is the basis for the analytics in Kim, Li, and Li (2014).

Link:  http://www.nber.org/papers/w7687