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Return asymmetry and the cross section of stock returns

Xu, Zhongxiang; Chevapatrakul, Thanaset; Li, Xiafei

Authors

Zhongxiang Xu

Thanaset Chevapatrakul

Xiafei Li



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

Journal Article Type Article
Publication Date 2019-10
Print ISSN 0261-5606
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 97
Pages 93-110
APA6 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. doi:10.1016/j.jimonfin.2019.06.005
DOI https://doi.org/10.1016/j.jimonfin.2019.06.005
Keywords Empirical asset pricing; return asymmetry; skewness
Publisher URL https://www.sciencedirect.com/science/article/pii/S0261560618306089

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