On Estimating Skewness in Stock Returns

Hon-Shiang Lau, John R. Wingender and Amy Hing-Ling Lau
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Hon-Shiang Lau: College of Business Administration, Oklahoma State University, Stillwater, Oklahoma 74078
John R. Wingender: College of Business Administration, Oklahoma State University, Stillwater, Oklahoma 74078
Amy Hing-Ling Lau: College of Business Administration, Oklahoma State University, Stillwater, Oklahoma 74078

Management Science, 1989, vol. 35, issue 9, 1139-1142

Abstract: In recent years skewness has become a much-discussed factor in financial research, and many studies/models involve the skewness of various financial variables. This paper (i) points out the universal neglect in the finance literature of skewness' sampling error and its significant consequences; (ii) presents a simple approach for roughly constructing a confidence interval for skewness estimated from lognormal populations; (iii) points out directions of further research for developing a comprehensive approach for estimating skewness reliably.

Keywords: skewness estimation; distribution of stock returns (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:35:y:1989:i:9:p:1139-1142

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