Time-Varying Skewness in Stock Returns: An Information-Based Explanation
There is evidence of regularities in the skewness of asset returns reported in the literature. The literature, however, offers no adequate explanations for these phenomena. Based on a simulation approach, we provide evidence that at least some aspects of skewness can be explained in terms of extant...
| Main Author: | |
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| Format: | Journal Article |
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University of Nebraska - Lincoln
2004
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| Online Access: | http://hdl.handle.net/20.500.11937/18897 |
| _version_ | 1848749878801334272 |
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| author | Lakshman, Alles |
| author_facet | Lakshman, Alles |
| author_sort | Lakshman, Alles |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | There is evidence of regularities in the skewness of asset returns reported in the literature. The literature, however, offers no adequate explanations for these phenomena. Based on a simulation approach, we provide evidence that at least some aspects of skewness can be explained in terms of extant information-based theories in finance. Using a well-accepted model for generating asset returns, we demonstrate that when the effects of the uncertain information hypothesis and Kahneman and Tversky's prospect theory are incorporated in the return-generating process, the resulting return distributions can show negative skewness and variations of skewness with changing economic climates similar to what has been observed in empirical distributions. |
| first_indexed | 2025-11-14T07:27:56Z |
| format | Journal Article |
| id | curtin-20.500.11937-18897 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:27:56Z |
| publishDate | 2004 |
| publisher | University of Nebraska - Lincoln |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-188972017-01-30T12:10:35Z Time-Varying Skewness in Stock Returns: An Information-Based Explanation Lakshman, Alles There is evidence of regularities in the skewness of asset returns reported in the literature. The literature, however, offers no adequate explanations for these phenomena. Based on a simulation approach, we provide evidence that at least some aspects of skewness can be explained in terms of extant information-based theories in finance. Using a well-accepted model for generating asset returns, we demonstrate that when the effects of the uncertain information hypothesis and Kahneman and Tversky's prospect theory are incorporated in the return-generating process, the resulting return distributions can show negative skewness and variations of skewness with changing economic climates similar to what has been observed in empirical distributions. 2004 Journal Article http://hdl.handle.net/20.500.11937/18897 University of Nebraska - Lincoln fulltext |
| spellingShingle | Lakshman, Alles Time-Varying Skewness in Stock Returns: An Information-Based Explanation |
| title | Time-Varying Skewness in Stock Returns: An Information-Based Explanation |
| title_full | Time-Varying Skewness in Stock Returns: An Information-Based Explanation |
| title_fullStr | Time-Varying Skewness in Stock Returns: An Information-Based Explanation |
| title_full_unstemmed | Time-Varying Skewness in Stock Returns: An Information-Based Explanation |
| title_short | Time-Varying Skewness in Stock Returns: An Information-Based Explanation |
| title_sort | time-varying skewness in stock returns: an information-based explanation |
| url | http://hdl.handle.net/20.500.11937/18897 |