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Asymmetry in the distribution of daily stock returns

  • Walter KrämerEmail author
Article
  • 15 Downloads

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.

Keywords

Small returns Skewness Firm effects 

JEL Classification

C4 G12 G14 

Notes

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Fakultät StatistikTechnische Universität DortmundDortmundGermany

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