Skewness in stock returns: reconciling the evidence on firm versus aggregate returns

Rui Albuquerque*

*Autor correspondente para este trabalho

Resultado de pesquisarevisão de pares

62 Citações (Scopus)

Resumo

Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level heterogeneity. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to conditional asymmetric stock return correlations and negative skewness in aggregate returns. I provide evidence consistent with the model predictions.
Idioma originalEnglish
Páginas (de-até)1630-1673
Número de páginas44
RevistaReview of Financial Studies
Volume25
Número de emissão5
DOIs
Estado da publicaçãoPublished - mai 2012

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