Asymmetry in the distribution of daily stock returns

Walter Krämer

Empirical Economics, 2021, vol. 60, issue 3, No 1, 1115-1125

Abstract: Abstract When plotting aggregated daily stock returns with absolute value less than x against x, a typical spoon-shaped pattern emerges which indicates a special type of asymmetry. This pattern disappears when individual returns are averaged; it is also absent in stock price indices, which points to explanations based on firm-specific drivers of returns.

Keywords: Small returns; Skewness; Firm effects (search for similar items in EconPapers)
JEL-codes: C4 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00181-019-01791-5

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