Download This PaperStock Return Asymmetry: Beyond Skewness
Journal of Financial and Quantitative Analysis, Forthcoming
45 Pages Posted: 16 Sep 2015 Last revised: 29 Jan 2020
Date Written: April 11, 2018
Abstract
In this paper, 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 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.
Keywords: Stock return asymmetry, entropy, asset pricing
JEL Classification: G11, G17, G12
Suggested Citation: Suggested Citation
Guofu Zhou (Contact Author)
Washington University in St. Louis - John M. Olin Business School ( email )
Washington University
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HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/