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dc.contributor.authorLakshman, Alles
dc.date.accessioned2017-01-30T12:10:35Z
dc.date.available2017-01-30T12:10:35Z
dc.date.created2010-05-18T20:03:06Z
dc.date.issued2004
dc.identifier.citationLakshman, 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.urihttp://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.publisherUniversity of Nebraska - Lincoln
dc.titleTime-Varying Skewness in Stock Returns: An Information-Based Explanation
dc.typeJournal Article
dcterms.source.volume43(1&2)
dcterms.source.startPage45
dcterms.source.endPage55
dcterms.source.issn0747-5535
dcterms.source.titleQuarterly Journal of Business and Economics
curtin.accessStatusOpen access
curtin.facultyCurtin Business School
curtin.facultySchool of Economics and Finance


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