Return asymmetry and the cross section of stock returns

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.

Citation

Li. (2019). Return asymmetry and the cross section of stock returns. Journal of International Money and Finance, 93 - 110. https://doi.org/10.1016/j.jimonfin.2019.06.005

• Acceptance Date: Jul 1, 2019
• Publication Date: Oct 1, 2019
• 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