Stock Return Asymmetry: Beyond Skewness

Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu

Journal of Financial and Quantitative Analysis, 2020, vol. 55, issue 2, 357-386

Abstract: In this article, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that the greater upside asymmetries calculated using our new measures imply lower average returns in the cross section of stocks. In contrast, when using the skewness measure, the relationship between asymmetry and returns is inconclusive.

Date: 2020
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