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Return asymmetry and the cross section of stock returns

Li

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Authors

Li



Abstract

This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empirical findings show that stocks with high return asymmetry exhibit low expected returns. The negative relation between return asymmetry and the cross section of stock returns persists for up to the 12-month forecast horizon and remains robust after controlling for the effects of skewness.

Acceptance Date Jul 1, 2019
Publication Date Oct 1, 2019
Publicly Available Date Mar 28, 2024
Journal Journal of International Money and Finance
Print ISSN 0261-5606
Publisher Elsevier
Pages 93 - 110
DOI https://doi.org/10.1016/j.jimonfin.2019.06.005
Publisher URL https://www.sciencedirect.com/science/article/pii/S0261560618306089?via%3Dihub

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