Add to ORKGOur paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual stocks, but only a few present values significantly different from the characteristics of a normal distribution. We compare our results with skewness estimates for 21 major and emerging stock market indices around the world and find that such results are similar to other low capitalization and trading volume markets. For all the Romanian and international assets studied, the Studentized-Range (St-R) and Jarque-Bera (J-B) tests reject the hypothesis of norma...
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns ...
We investigate why stock returns in emerging markets tend to be more positively skewed than those in...
The skewness of the conditional return distribution plays a significant role in financial theory and...
Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucha...
This paper reports an investigation into the extent and persistence of skewness in stock returns in ...
This paper examines the (a)symmetry of twenty-four individual stock returns at different frequencies...
Theoretical and empirical research documents a negative relation between the cross-section of stock ...
This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate...
We test the prediction of recent theories that stocks with high idiosyncratic skewness should have l...
This paper examines the predictive power of average skewness, defined as the average of monthly skew...
In recent years skewness has become a much-discussed factor in financial research, and many studies/...
This paper examines the (a)symmetry of several individual stock returns at different investment hori...
Prospect theory implies that assets with positively skewed returns should be traded at premium to as...
Although it is well known that the market rate of return tends to show negative skewness, we find th...
Abstract We use a quantile-based measure of conditional skewness or asymmetry of asset returns that ...
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns ...
We investigate why stock returns in emerging markets tend to be more positively skewed than those in...
The skewness of the conditional return distribution plays a significant role in financial theory and...
Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucha...
This paper reports an investigation into the extent and persistence of skewness in stock returns in ...
This paper examines the (a)symmetry of twenty-four individual stock returns at different frequencies...
Theoretical and empirical research documents a negative relation between the cross-section of stock ...
This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate...
We test the prediction of recent theories that stocks with high idiosyncratic skewness should have l...
This paper examines the predictive power of average skewness, defined as the average of monthly skew...
In recent years skewness has become a much-discussed factor in financial research, and many studies/...
This paper examines the (a)symmetry of several individual stock returns at different investment hori...
Prospect theory implies that assets with positively skewed returns should be traded at premium to as...
Although it is well known that the market rate of return tends to show negative skewness, we find th...
Abstract We use a quantile-based measure of conditional skewness or asymmetry of asset returns that ...
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns ...
We investigate why stock returns in emerging markets tend to be more positively skewed than those in...
The skewness of the conditional return distribution plays a significant role in financial theory and...