A Neglected Semi-Stylized Fact of Daily Stock Returns

Walter Kraemer
Authors registered in the RePEc Author Service: Walter Krämer

No 5806, CESifo Working Paper Series from CESifo

Abstract: We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this often produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been widely discussed before. 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: stock returns; skewness; symmetry (search for similar items in EconPapers)
JEL-codes: C40 G12 G14 (search for similar items in EconPapers)
Date: 2016
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