Return asymmetry and the cross section of stock returns

Xu, Zhongxiang; Chevapatrakul, Thanaset; Li, Xiafei

Abstract

This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empirical findings show that stocks with high return asymmetry exhibit low expected returns. The negative relation between return asymmetry and the cross section of stock returns persists for up to the 12-month forecast horizon and remains robust after controlling for the effects of skewness. JEL classification : C20; C51; C53; G12; G17

Citation

Xu, Z., Chevapatrakul, T., & Li, X. (2019). Return asymmetry and the cross section of stock returns. Journal of International Money and Finance, 97, 93-110. https://doi.org/10.1016/j.jimonfin.2019.06.005

• Journal Article Type: Article
• Acceptance Date: Jul 1, 2019
• Online Publication Date: Jul 1, 2019
• Publication Date: 2019-10
• Deposit Date: Jul 3, 2019
• Publicly Available Date: Jan 2, 2021
• Journal: Journal of International Money and Finance
• Print ISSN: 0261-5606
• Electronic ISSN: 1873-0639
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 97
• Pages: 93-110
• DOI: https://doi.org/10.1016/j.jimonfin.2019.06.005
• Keywords: Empirical asset pricing; return asymmetry; skewness
• Public URL: https://nottingham-repository.worktribe.com/output/2264314
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0261560618306089
• Additional Information: This article is maintained by: Elsevier; Article Title: Return asymmetry and the cross section of stock returns; Journal Title: Journal of International Money and Finance; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.jimonfin.2019.06.005; Content Type: article; Copyright: © 2019 Elsevier Ltd. All rights reserved.
• Contract Date: Jul 3, 2019