Abstract
When plotting aggregated daily stock returns with absolute value less than x against x, a typical spoon-shaped pattern emerges which indicates a special type of asymmetry. 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.
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Research supported by DFG-Sonderforschungsbereich 823. I am grateful to Simon Neumärker, Carmen van Meegen, Maxime Faymonville, Barbara Brune, Marc Hüsch and Kaya Miah for expert computational assistance and to Joachim Grammig, André Güttler, Tileman Conring, Günter Bamberg and an anonymous referee for helpful discussions and comments.
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Krämer, W. Asymmetry in the distribution of daily stock returns. Empir Econ 60, 1115–1125 (2021). https://doi.org/10.1007/s00181-019-01791-5
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DOI: https://doi.org/10.1007/s00181-019-01791-5