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Keywords: skewness
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Journal Articles
The Accounting Review (2023) 98 (4): 373–403.
Published: 01 July 2023
... to the skewness of returns that the disclosure creates. I then show that this skewness can be measured using a weighted change in option-implied return skewness leading up to the disclosure’s release. The measure’s ability to capture investors’ prior beliefs regarding asymmetry is advantageous when studying...
Includes: Supplementary data
Journal Articles
The Accounting Review (2013) 88 (6): 2213–2240.
Published: 01 November 2013
...Xiao-Jun Zhang ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium...