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The Relationship Between Stock Return Skewness And Bank Features

Author

Listed:
  • SILVIA BRESSAN

    (Free University of Bozen, Bolzano, Italy)

  • ALEX WEISSENSTEINER

    (Free University of Bozen, Bolzano, Italy)

Abstract

This paper studies to what extent bank-specific characteristics relate to stock return skewness. The main finding is that stock return skewness decreases significantly in bank size, measured in terms of total assets, i.e stocks of large banks are less skewed than those of small banks. This result holds for backward-looking skewness computed using the past stock returns, as well as for forward-looking skewness extracted from stock options. We interpret the empirical evidence by arguing that bank size increases the likelihood to have severe losses, to the point that investors expect to be compensated by receiving higher expected returns.

Suggested Citation

  • Silvia Bressan & Alex Weissensteiner, 2018. "The Relationship Between Stock Return Skewness And Bank Features," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-17, December.
    • Handle: RePEc:wsi:jfmmix:v:06:y:2018:i:02:n:s2282717x1850010x
    DOI: 10.1142/S2282717X1850010X
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    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2282717X1850010X
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    Cited by:

    1. Bressan, Silvia & Weissensteiner, Alex, 2021. "The financial conglomerate discount: Insights from stock return skewness," International Review of Financial Analysis, Elsevier, vol. 74(C).

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