A Neglected Semi-Stylized Fact of Daily Stock Returns
20 Pages Posted: 14 Apr 2016
Date Written: March 17, 2016
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: Suggested Citation