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- Title
Stock Return Asymmetry: Beyond Skewness.
- Authors
Jiang, Lei; Wu, Ke; Zhou, Guofu; Zhu, Yifeng
- Abstract
In this article, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that the greater upside asymmetries calculated using our new measures imply lower average returns in the cross section of stocks. In contrast, when using the skewness measure, the relationship between asymmetry and returns is inconclusive.
- Subjects
RATE of return on stocks; SKEWNESS (Probability theory); BUSINESS performance measurement; MARKET volatility; LIQUIDITY (Economics); CAPITAL gains
- Publication
Journal of Financial & Quantitative Analysis, 2020, Vol 55, Issue 2, p357
- ISSN
0022-1090
- Publication type
Article
- DOI
10.1017/S0022109019000206