Modeling Conditional Skewness in Stock Returns
نویسندگان
چکیده
منابع مشابه
Conditional Skewness of Aggregate Market Returns
The characteristics of the distribution of security returns, such as skewness, play a significant role in financial theory and practice. This paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic mechanisms underlying this predictability. In both developed and emerging markets, there is strong evidence that lagged returns pred...
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This paper examines the relationship between realized daily skewness and future stock returns and investigates the impact of information releases on that relationship. We find that there exists a negative relationship between realized daily skewness and subsequent stock returns when there is no high-impact information release, but that the relationship becomes positive if the realized skewness ...
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Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This paper provides a unified theory that reconciles the two facts. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that ...
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ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2007
ISSN: 1351-847X,1466-4364
DOI: 10.1080/13518470701538608