Working Paper

A Neglected Semi-Stylized Fact of Daily Stock Returns

Walter Kraemer
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
Keywords: stock returns, skewness, symmetry
JEL Classification: C400, G120, G140