A Neglected Semi-Stylized Fact of Daily Stock Returns

20 Pages Posted: 14 Apr 2016

See all articles by Walter Kraemer

Walter Kraemer

University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: March 17, 2016

Abstract

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it is also absent in stock price indices, which points to explanations based on firm-specific drivers of returns.

Keywords: financial economics, empirical finance, stylized facts, stock returns, spoon effect

JEL Classification: C580, G100, G150

Suggested Citation

Kraemer, Walter, A Neglected Semi-Stylized Fact of Daily Stock Returns (March 17, 2016). CESifo Working Paper Series No. 5806, Available at SSRN: https://ssrn.com/abstract=2764793

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany
0231 755-3125 (Phone)
0231 755-5284 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
121
Abstract Views
578
rank
285,816
PlumX Metrics