Hostname: page-component-586b7cd67f-tf8b9 Total loading time: 0 Render date: 2024-11-25T07:17:34.788Z Has data issue: false hasContentIssue false
  • English
  • Français

Skewness Persistence in Common Stock Returns

Published online by Cambridge University Press:  06 April 2009

J. Clay Singleton  and
John Wingender
Get access Rights & Permissions [Opens in a new window]

Abstract

Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 21 , Issue 3 , September 1986 , pp. 335 - 341
Copyright
Copyright © School of Business Administration, University of Washington 1986

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Arditti, F. D., and Levy, H.. “Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case.” Journal of Finance, 30 (06 1975), 797–809.Google Scholar
[2]Beedles, W. L. “Evaluating Negative Benefits.’ Journal of Financial and Quantitative Analysis, 13 (03 1978), 173–181.Google Scholar
[3]Beedles, W. L. “Return, Dispersion and Skewness: Synthesis and Investment Strategy.” Journal of Financial Research, 2 (Spring 1979), 71–80.CrossRefGoogle Scholar
[4]Beedles, W. L., and Simkowitz, M. A.. “Morphology of Asset Asymmetry.” Journal of Business Research, 8 (12 1980), 457–468.CrossRefGoogle Scholar
[5]Conine, T. E. Jr, and Tamarkin, M. J.. “On Diversification Given Asymmetry in Returns.” Journal of Finance, 36 (12 1981), 1143–1155.CrossRefGoogle Scholar
[6]Fogler, H. R., and Radcliffe, R. C.. “A Note on Measurement of Skewness.” Journal of Financial and Quantitative Analysis, 9 (06 1974), 485–489.CrossRefGoogle Scholar
[7]Francis, J. C. “Skewness and Investors' Decisions.” Journal of Financial and Quantitative Analysis, 10 (03 1975), 163–172.CrossRefGoogle Scholar
[8]Francis, J. C, and Archer, S. H.. Portfolio Analysis. Englewood Cliffs, NJ: Prentice-Hall, Inc. (1979), Chap. 16.Google Scholar
[9]Grieves, R., and Singleton, J. C.. “Synthetic Puts and Portfolio Insurance Strategies.” Journal of Portfolio Management, 10 (Spring 1984), 63–69.Google Scholar
[10]Ingersoll, J. “Multidimensional Security Pricing.” Journal of Financial and Quantitative Analysis, 10 (12 1975), 785–798.CrossRefGoogle Scholar
[11]Jean, W. H. “The Extension of Portfolio Analysis to Three or More Parameters.” Journal of Financial and Quantitative Analysis, 6 (01 1971), 505–515.Google Scholar
[12]Jean, W. H. “More on Multidimensional Portfolio Analysis.” Journal of Financial and Quantitative Analysis, 8 (06 1973), 475–490.CrossRefGoogle Scholar
[13]Krause, A., and Litzenberger, R. H.. “Skewness Preference and the Valuation of Risk Assets.” Journal of Finance, 31 (09 1976), 1085–1100.Google Scholar
[14]McEnally, R. W. “A Note on the Return Behavior of High Risk Common Stocks.” Journal of Finance, 29 (03 1974), 199–202.Google Scholar
[15]Miller, M. H., and Scholes, M.. “Rates of Return in Relation to Risk: Reexamination of Some Recent Findings.” Studies in the Theory of Capital Markets, Jensen, M. C., ed. NY: Praeger Publishers (1972), 47–78.Google Scholar
[16]Rubinstein, M., and Leland, H. E.. “Replicating Options with Positions in Stock and Cash.” Financial Analysts Journal, 37 (07–08 1981), 63–72.CrossRefGoogle Scholar
[17]Schwesser, C. “A Comparison of Multidimensional Security Pricing Models.” Journal of Economics and Business, 30 (05 1978), 137–141.Google Scholar
[18]Simkowitz, M. A., and Beedles, W. L.. “Diversification in a Three-Moment World.” Journal of Financial and Quantitative Analysis, 13 (12 1978), 927–941.CrossRefGoogle Scholar