Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns
By Rui A. Albuquerque. 2012
154 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/a17046170f1d5f4e60867d0ef4c178726c1488d1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- H. Bessembinder
- Ekkehart Boehmer
- Mark Peterson
- Gordon J. Alexander
- Terrence Hendershott
- Craig W. Holden
- Stacey Jacobsen
- Kee H. Chung
In Finance
- H. Bessembinder
- Ekkehart Boehmer
- Terrence Hendershott
- Mark Peterson
- Gordon J. Alexander
- Craig W. Holden
- Stacey Jacobsen
- Kee H. Chung
Citations in the corpus
- Do stocks outperform Treasury bills? (2018, background): “Albuquerque (2012) shows that negative skewness in diversified portfolio returns can arise due to heterogeneity in information announcement dates across stocks.”
- Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field (2018, unknown): “Figure 2 shows that portfolios with a few individual stocks have high positive skewness, but diversification reduces skewness and the aggregate stock market has negative skewness (Albuquerque, 2012).”