Return asymmetry and the cross section of stock returns
(2019)
Journal Article
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
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 empiric... Read More about Return asymmetry and the cross section of stock returns.