A Neglected Semi-Stylized Fact of Daily Stock Returns

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. 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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Year of publication:	2016
Authors:	Davies, Laurie ; Krämer, Walter
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	financial economics \| empirical finance \| stylized facts \| stock returns \| spoon effect

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Series:	CESifo Working Paper ; 5806
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	855107383 [GVK] hdl:10419/130436 [Handle] RePec:ces:ceswps:_5806 [RePEc]
Classification:	c58 ; G10 - General Financial Markets. General ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10011451429