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Stock Return Asymmetry: Beyond Skewness — CORRIGENDUM

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  • Jiang, Lei
  • Wu, Ke
  • Zhou, Guofu
  • Zhu, Yifeng

Abstract

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Suggested Citation

  • Jiang, Lei & Wu, Ke & Zhou, Guofu & Zhu, Yifeng, 2020. "Stock Return Asymmetry: Beyond Skewness — CORRIGENDUM," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(2), pages 707-707, March.
    • Handle: RePEc:cup:jfinqa:v:55:y:2020:i:2:p:707-707_11
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    Citations

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    Cited by:

    1. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2023. "Salience theory in price and trading volume: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 38-61.
    2. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2024. "What drives the tail risk effect in the Chinese stock market?," Economic Modelling, Elsevier, vol. 132(C).
    3. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    4. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    5. Dai, Yiming & Jiang, Yuexiang & Long, Huaigang & Wang, Hui & Zaremba, Adam, 2023. "Does realized skewness predict the cross-section of Chinese stock returns?," Finance Research Letters, Elsevier, vol. 58(PB).
    6. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    7. Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    8. Chen, Yan & Liu, Yakun, 2024. "Idiosyncratic asymmetry in stock returns: An entropy measure," Finance Research Letters, Elsevier, vol. 64(C).
    9. Gui, Pingshu & Zhu, Yifeng, 2021. "Margin trading and stock idiosyncratic volatility: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 484-496.
    10. León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
    11. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    12. Bi, Jia & Gui, Pingshu & Zhu, Yifeng, 2022. "Large transactions and the MAX effect: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

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