Return Asymmetry and the Cross Section of Stock Returns

41 Pages Posted: 11 Oct 2016 Last revised: 3 Jul 2019

See all articles by Zhongxiang Xu

Zhongxiang Xu

University of Nottingham, University of Nottingham, Students; Nottingham University Business School

Xiafei Li

Keele Business School, Keele University; Keele Business School, Keele University

Thanaset Chevapatrakul

Nottingham University Business School

Date Written: April 2019

Abstract

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

Xu, Zhongxiang and Li, Xiafei and Chevapatrakul, Thanaset, Return Asymmetry and the Cross Section of Stock Returns (April 2019). Available at SSRN: https://ssrn.com/abstract=2850842 or http://dx.doi.org/10.2139/ssrn.2850842

Zhongxiang Xu (Contact Author)

University of Nottingham, University of Nottingham, Students ( email )

Nottingham
United Kingdom

Nottingham University Business School ( email )

Jubilee Campus
Wollaton Road
Nottingham, NG8 1BB
United Kingdom

Xiafei Li

Keele Business School, Keele University ( email )

NG5 5AA
United Kingdom

Keele Business School, Keele University ( email )

Keele, ST5 5AA
United Kingdom

Thanaset Chevapatrakul

Nottingham University Business School ( email )

Jubuliee Campus
Wollaton Road
Nottingham, Nottinghamshire NG8 1BB
Great Britain

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
225
Abstract Views
933
rank
187,672
PlumX Metrics