A neglected semi-stylized fact of daily stock returns

Laurie Davies, Walter Krämer

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:	March 2016
Authors:	Davies, Patrick Laurie ; Krämer, Walter
Publisher:	München : CESifo, Center for Economic Studies & Ifo Institute
Subject:	financial economics \| empirical finance \| stylized facts \| stock returns \| spoon effect \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Welt \| World \| Zeitreihenanalyse \| Time series analysis \| Aktienmarkt \| Stock market

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Extent:	1 Online-Ressource (circa 17 Seiten) Illustrationen
Series:	CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. no. 5806
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/130436 [Handle]
Classification:	c58 ; G10 - General Financial Markets. General ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

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