Time-Varying Skewness in Stock Returns: An Information-Based Explanation
dc.contributor.author | Lakshman, Alles | |
dc.date.accessioned | 2017-01-30T12:10:35Z | |
dc.date.available | 2017-01-30T12:10:35Z | |
dc.date.created | 2010-05-18T20:03:06Z | |
dc.date.issued | 2004 | |
dc.identifier.citation | Lakshman, Alles. 2004. Time-Varying Skewness in Stock Returns: An Information-Based Explanation. Quarterly Journal of Business and Economics. 43 (1&2): pp. 45-55. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/18897 | |
dc.description.abstract |
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. | |
dc.publisher | University of Nebraska - Lincoln | |
dc.title | Time-Varying Skewness in Stock Returns: An Information-Based Explanation | |
dc.type | Journal Article | |
dcterms.source.volume | 43(1&2) | |
dcterms.source.startPage | 45 | |
dcterms.source.endPage | 55 | |
dcterms.source.issn | 0747-5535 | |
dcterms.source.title | Quarterly Journal of Business and Economics | |
curtin.accessStatus | Open access | |
curtin.faculty | Curtin Business School | |
curtin.faculty | School of Economics and Finance |