BAFI Academic Seminarhttps://weatherhead.case.edu/events/2016/04/08/bafi-academic-seminar
In this paper, we propose two asymmetry measures of stock returns. In contrast to the usual skewness measure, ours are based on the distribution function of the data instead of just the third moment. While it is inconclusive with the skewness, we find that, with our new measures, greater upside asymmetries imply lower average returns in the cross section of stocks, which is consistent with theoretical models such as those proposed by Barberis and Huang (2008) and Han and Hirshleifer (2015).
Dept. Admin., Dept. of Banking & Finance
||Friday, April 8, 2016 from 10:30 a.m. to noon
||Peter B. Lewis Building, Room 118
11119 Bellflower Road
Cleveland, OH 44106-7235
||Speaker(s): Professor Guofu Zhou
||Guofu Zhou paper
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