Skewness In Individual Stocks At Different Frequencies
This paper examines the (a)symmetry of twenty-four individual stock returns at different frequencies: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely at lower frequencies. The explanation for this fact lies in the convergence to normality that takes place when frequency decreases. These features allow one to question several financial models; in particular, they question the preference for positive skewness as a factor for investments in stock markets. Este artículo examina la (a)simetría de las rentabilidades de veinticuatro valores individuales para diferentes frecuencias: diaria, semanal y mensual. Aunque se observan algunas asimetrías en las rentabilidades diarias, éstas desaparecen casi completamente en frecuencias menores. La explicación a este fenómeno reside en la convergencia a la normalidad que se produce al disminuir la frecuencia. Estos hechos cuestionan varios modelos financieros; en concreto cuestionan la preferencia por la asimetría positiva como un factor de inversión en los mercados de acciones.
|Date of creation:||Mar 2001|
|Publication status:||Published by Ivie|
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- Corrado, Charles J & Su, Tie, 1996.
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