Xu, Z, Chevapatrakul, T and Li, X (2019) Return asymmetry and the cross section of stock returns. Journal of International Money and Finance, 97. 93 - 110. ISSN 0261-5606

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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.

Item Type: Article
Additional Information: The final version of this article and all relevant information related to it, including copyrights, can be found on the publisher website at; https://www.sciencedirect.com/science/article/pii/S0261560618306089?via%3Dihub
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
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Depositing User: Symplectic
Date Deposited: 12 Jan 2022 09:27
Last Modified: 12 Jan 2022 09:27
URI: https://eprints.keele.ac.uk/id/eprint/10488

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