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Anatomy of interim disclosures during bimodal return distributions

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Persistent link: https://www.econbiz.de/10003305275

Skewness in stock returns : reconciling the evidence on firm versus aggregate returns

Albuquerque, Rui H. P. L. de - 2010

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Stock price distributions and news : evidence from index options

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Skewness in stock returns : reconsiling the evidence on firm versus aggregate returns

Albuquerque, Rui - In: The review of financial studies 25 (2012) 5, pp. 1630-1673

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Skewness in Stock Returns : Reconciling the Evidence on Firm versus Aggregate Returns

Albuquerque, Rui A. - 2011

Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This paper provides a unified theory that reconciles the two facts by explicitly modeling...

Persistent link: https://www.econbiz.de/10013133437

Skewness in Stock Returns : Reconciling the Evidence on Firm Versus Aggregate Returns

Albuquerque, Rui A. - 2014

Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level...

Persistent link: https://www.econbiz.de/10013068348