Stock Return Asymmetry: Beyond Skewness

2019 ◽  
Vol 55 (2) ◽  
pp. 357-386 ◽  
Author(s):  
Lei Jiang ◽  
Ke Wu ◽  
Guofu Zhou ◽  
Yifeng Zhu
Keyword(s):  
Distribution Function ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Cross Section ◽  
Stock Return ◽  
Central Moment ◽  
The Third ◽  
The Cross ◽  
Asymmetry Measures ◽  
The Relationship

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.

scholarly journals THE RELATIONSHIP BETWEEN STOCK RETURN SKEWNESS AND BANK FEATURES

2018 ◽  
Vol 06 (02) ◽  
pp. 1850010
Author(s):  
SILVIA BRESSAN ◽  
ALEX WEISSENSTEINER
Keyword(s):  
Stock Returns ◽  
Empirical Evidence ◽  
Stock Options ◽  
Stock Return ◽  
Expected Returns ◽  
The Past ◽  
Small Banks ◽  
The Relationship ◽  
Forward Looking

This paper studies to what extent bank-specific characteristics relate to stock return skewness. The main finding is that stock return skewness decreases significantly in bank size, measured in terms of total assets, i.e stocks of large banks are less skewed than those of small banks. This result holds for backward-looking skewness computed using the past stock returns, as well as for forward-looking skewness extracted from stock options. We interpret the empirical evidence by arguing that bank size increases the likelihood to have severe losses, to the point that investors expect to be compensated by receiving higher expected returns.

scholarly journals Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India

2016 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Prashant Sharma ◽  
Brajesh Kumar
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Empirical Relationship ◽  
Idiosyncratic Volatility ◽  
Expected Returns ◽  
Cross Sectional ◽  
The Cross ◽  
Highly Correlated ◽  
Indian Stock Market ◽  
The Relationship

<p>The present study examines the cross-sectional pricing ability of idiosyncratic volatility (IV) in Indian stock market and investigates the relationship amongst expected idiosyncratic volatility (EI), unexpected idiosyncratic volatility (UI), and cross-section of stocks returns. The study uses ARIMA (2, 0, 1) model to IV into EI and UI. The stocks returns are regressed on IV, EI and UI using Newey-West (1987) corrections, in order to investigate their empirical relationship.  The study finds that IV is positively related with stock returns. Further the IV significantly explains the cross-section of stock returns in Indian context. After imposing control over UI, as it is highly correlated with unexpected returns, the inter-temporal relationship between EI and expected returns turns out to be positive.</p>

Asymmetry in Stock Comovements: An Entropy Approach

2018 ◽  
Vol 53 (4) ◽  
pp. 1479-1507 ◽  
Author(s):  
Lei Jiang ◽  
Ke Wu ◽  
Guofu Zhou
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Stock Return ◽  
Expected Returns ◽  
Market Return ◽  
Model Free ◽  
The Cross

We provide an entropy approach for measuring the asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we find that asymmetry is much more pervasive than previously thought. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross section of stock returns, we find an asymmetry premium: Higher downside asymmetric comovement with the market indicates higher expected returns.

Net stock issuance anomaly and cash flow explanation: A research note

2017 ◽  
Vol 43 (2) ◽  
pp. 286-304 ◽  
Author(s):  
Alan Meng Li ◽  
Dharmendra Naidu ◽  
Farshid Navissi ◽  
Kumari Ranjeeni
Keyword(s):  
Stock Returns ◽  
Empirical Evidence ◽  
Cross Section ◽  
Cash Flow ◽  
Jel Classification ◽  
Research Note ◽  
Stock Repurchases ◽  
Negatively Associated ◽  
The Cross ◽  
Stock Issuance

Prior studies show that net stock issuance is negatively associated with the cross section of future stock returns, reflecting a market anomaly. Our study provides empirical evidence on whether cash flow can mitigate such anomaly. Consistent with prior research, we initially provide evidence of the anomaly in our sample and that the anomaly persists in the presence of cash flow. We then decompose net stock issuance into stock issues and stock repurchases and find that the anomaly is only driven by stock issues but not stock repurchases and that the stock issues’ anomaly persists even in the presence of cash flow. JEL Classification: G12, G14

Seasonality in the Cross-Section of Stock Returns

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 55-56
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross
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