Return asymmetry and the cross section of stock returns

Zhongxiang Xu, Thanaset Chevapatrakul and Xiafei Li

Journal of International Money and Finance, 2019, vol. 97, issue C, 93-110

Abstract: This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empirical findings show that stocks with high return asymmetry exhibit low expected returns. The negative relation between return asymmetry and the cross section of stock returns persists for up to the 12-month forecast horizon and remains robust after controlling for the effects of skewness.

Keywords: Empirical asset pricing; Return asymmetry; Skewness (search for similar items in EconPapers)
JEL-codes: C20 C51 C53 G12 G17 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:97:y:2019:i:c:p:93-110

DOI: 10.1016/j.jimonfin.2019.06.005

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