Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices

• 成果类型: Article
• 署名作者: Chen, J; Hong, H; Stein, JC
• 署名单位: Harvard University; Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00066-6
• 发表日期: 2001
• 页码: 345-381
• 关键词: CRASHES; trading volume; skewness

摘要

We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced (1) an increase in trading volume relative to trend over the prior six months, consistent with the model of Hong and Stein (NBER Working Paper, 1999), and (2) positive returns over the prior 36 months, which fits with a number of theories, most notably Blanchard and Watson's (Crises in Economic and Financial Structure. Lexington Books, Lexington, MA, 1982, pp. 295-315) rendition of stock-price bubbles. Analogous results also obtain when we attempt to forecast the skewness of the aggregate stock market, though our statistical power in this case is limited. (C) 2001 Elsevier Science S.A. All rights reserved.