| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7896 |
| 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 |
| URL | https://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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