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A Neglected Semi-Stylized Fact of Daily Stock Returns

Author

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  • Walter Kraemer

Abstract

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.

Suggested Citation

  • Walter Kraemer, 2016. "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series 5806, CESifo.
    • Handle: RePEc:ces:ceswps:_5806
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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp5806.pdf
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    References listed on IDEAS

    as
    1. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
    2. C. W. J. Granger & Zhuanxin Ding, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annals of Economics and Statistics, GENES, issue 40, pages 67-91.
    3. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    4. Diamond, Douglas W & Verrecchia, Robert E, 1991. "Disclosure, Liquidity, and the Cost of Capital," Journal of Finance, American Finance Association, vol. 46(4), pages 1325-1359, September.
    5. repec:adr:anecst:y:1995:i:40:p:04 is not listed on IDEAS
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    More about this item

    Keywords

    stock returns; skewness; symmetry;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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