G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7896
DP7896 Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns
Rui Albuquerque
发表日期2010-06-01
出版年2010
语种英语
摘要Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This paper provides a unified theory that reconciles the two facts. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to negative skewness in aggregate returns. I provide evidence consistent with the model predictions.
主题Financial Economics
关键词Skewness Market returns Firm returns Announcement events Crosssectional heterogeneity
URLhttps://cepr.org/publications/dp7896
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536732
推荐引用方式
GB/T 7714
Rui Albuquerque. DP7896 Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns. 2010.
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