On the Asymmetry of Market Returns

William L. Beedles

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 3, 653-660

Abstract: During the late 1960s and throughout the 1970s, a myriad of tests of the two-parameter capital asset pricing model (hereafter CAPM) have been executed and reported in the literature. Relatively recently, much attention has been focused on the asymmetry—skewness—of realized asset, portfolio, and market return distributions. The intent of the present effort is to report the results of an investigation of the asymmetry of one of these variables—the returns of the market portfolio.

Date: 1979
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