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Asymmetry in the distribution of daily stock returns

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  • Walter Krämer

    (Technische Universität Dortmund)

Abstract

When plotting aggregated daily stock returns with absolute value less than x against x, a typical spoon-shaped pattern emerges which indicates a special type of asymmetry. This pattern disappears when individual returns are averaged; it is also absent in stock price indices, which points to explanations based on firm-specific drivers of returns.

Suggested Citation

  • Walter Krämer, 2021. "Asymmetry in the distribution of daily stock returns," Empirical Economics, Springer, vol. 60(3), pages 1115-1125, March.
    • Handle: RePEc:spr:empeco:v:60:y:2021:i:3:d:10.1007_s00181-019-01791-5
    DOI: 10.1007/s00181-019-01791-5
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    References listed on IDEAS

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    Cited by:

    1. Juraj Pekár & Mário Pčolár, 2022. "Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 699-731, June.

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    More about this item

    Keywords

    Small returns; Skewness; Firm effects;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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