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Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)

  • Carlos MACHADO-SANTOS

    ()

    (UTAD University, Apartado, Portugal)

  • Ana Cristina FERNANDES

    ()

    (University of Minho, Braga, Portugal)

Registered author(s):

    This paper addresses the issue of symmetry in financial returns. The return distributions of the major stocks traded on the Portuguese market and included in the PSI-20 Index are examined for periods from four to nine years. The results show that the symmetry of the returns is rejected against several alternative distributions. Statistically significant differences between returns below and above the mean are detected, which provides additional evidence of skewness in the return distributions. In addition, as observed in other studies, it is interesting to note that such results are similar to other low-capitalization and low-volume markets, which also exhibit asymmetric return distributions.

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    File URL: http://journal.fsv.cuni.cz/storage/1032_s_460_470.pdf
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    Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

    Volume (Year): 55 (2005)
    Issue (Month): 9-10 (September)
    Pages: 460-470

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    Handle: RePEc:fau:fauart:v:55:y:2005:i:9-10:p:460-470
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    1. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
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    6. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
    7. Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January.
    8. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, vol. 36(107), pages 335-46, July.
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