Price Convexity and Skewness

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How researchers see this paper

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Price Efficiency and Short Selling (2011, unknown): “This is in accordance with the theoretical prediction of Xu (2007) that skewness should decrease with fewer short-sale constraints.”
Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns (2012, unknown): “For models of positive skewness at the firm level see Duffee (2002), Grullon et al. (2010), Hong et al. (2008), and Xu (2007).”
Short interest and stock price crash risk (2015, methodology): “Here, we use trade-adjusted short volume, that is, short volume scaled by total trading volume, to make sure that the documented relationship between short sales and negative skewness is not simply due to the fact that both are related to trading volume (Chen et al., 2001; Xu, 2007).”