This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empirical findings show that stocks with high return...

We examine the impact of default risk on the market skewness risk effect that stocks with low market skewness risk outperform stocks with high risk documented in the previous literature. We find that the effect is strong among large, growth, and low default risk stocks, but vanishes among small,...