6533b833fe1ef96bd129c10b
RESEARCH PRODUCT
Skewness in individual stocks at different investment horizons
Amado Peirósubject
SkewnessFinancial economicsmedia_common.quotation_subjectEconomicsFinancial modelingPositive skewnessGeneral Economics Econometrics and Financehealth care economics and organizationsFinanceNormalityStock (geology)media_commondescription
Abstract This paper examines the (a)symmetry of several individual stock returns at different investment horizons: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely in weekly and monthly returns. The explanation for this fact lies in the convergence to normality that takes place when the investment horizon increases. These features allow one to question several financial models; in particular, they question the preference for positive skewness as a factor for investments in stock markets.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2002-04-01 | Quantitative Finance |