文献详情
Stock Return Asymmetry: Beyond Skewness
文献类型：期刊
通讯作者：Zhu, YF (reprint author), Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China.
期刊名称：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
年：2020
卷：55
期：2
页码：357-386
ISSN：0022-1090
所属部门：汉青高级经济与金融研究院
摘要：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.
DOI：10.1017/S0022109019000206
百度学术：Stock Return Asymmetry: Beyond Skewness
语言：外文
被引频次：1
基金：National Natural Science Foundation of China (NNSFC)National Natural Science Foundation of China [71803187]; NNSFCNational Natural Science Foundation of China [71572091, 71872195, 71702205]; AXA Research Fund; Tsinghua University Initiative Scientific Research Program [20151080398]; Tsinghua National Laboratory for Information Science and Technology
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