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Benjamin Blau (), J. Michael Pinegar and Ryan Whitby ()

Journal of Financial Research, 2015, vol. 38, issue 2, 145-168

Abstract: type="main" xml:lang="en">

Much of traditional asset pricing theory rests on the assumption of normality in the distribution of stock returns. A growing body of research suggests that skewness in the return distributions can affect asset prices. In this article we attempt to empirically identify factors that influence return skewness. Consistent with the theoretical literature, we find that prices during the postearnings announcement period are more convex for firms that have tighter short-sale constraints and for firms that experience greater disagreement among investors. Perhaps more important, we also find that price convexity is a key determinant in the skewness of stocks.

Date: 2015
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Handle: RePEc:bla:jfnres:v:38:y:2015:i:2:p:145-168