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

• 成果类型: Article
• 署名作者: Albuquerque, Rui
• 署名单位: Boston University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr144
• 发表日期: 2012
• 页码: 1630
• 关键词: EARNINGS ANNOUNCEMENTS; information-content; INFINITE-VARIANCE; SHORT-SALES; dividend; RISK; volatility; BEHAVIOR; news; diversification

摘要

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 heterogeneity. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to conditional asymmetric stock return correlations and negative skewness in aggregate returns. I provide evidence consistent with the model predictions.