Working Paper
A Neglected Semi-Stylized Fact of Daily Stock Returns
Walter Kraemer
CESifo, Munich, 2016
CESifo Working Paper No. 5806
CESifo, Munich, 2016
CESifo Working Paper No. 5806
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this often produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been widely discussed before. This pattern disappears when individual returns are averaged; it is also absent in stock price indices, which points to explanations based on firm-specific drivers of returns.
CESifo Category
Monetary Policy and International Finance
Empirical and Theoretical Methods
Monetary Policy and International Finance
Empirical and Theoretical Methods
Keywords: stock returns, skewness, symmetry
JEL Classification: C400, G120, G140