Fujiwara, Ippei; Körber, Lena Mareen; Nagakura, Daisuke - In: Journal of Banking & Finance 37 (2013) 8, pp. 3218-3226
coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in … a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or …