Return Asymmetry and the Cross Section of Stock Returns
41 Pages Posted: 11 Oct 2016 Last revised: 3 Jul 2019
Date Written: April 2019
This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empirical findings show that stocks with high return asymmetry exhibit low expected returns. The negative relation between return asymmetry and the cross section of stock returns persists for up to the 12-month forecast horizon and remains robust after controlling for the effects of skewness.
Keywords: Empirical asset pricing; return asymmetry; skewness
JEL Classification: C20; C51; C53; G12; G17
Suggested Citation: Suggested Citation