Abstract
The purpose of this paper is to demonstrate mathematically that the skewness of securities' returns--the ratio of the third moment to the standard deviation cubed--is sensitive to the length of the differencing interval over which returns are measured. Empirical observations of this so-called intervaling effect on skewness have been reported in at least three articles in this Journal . There have been no attempts, however, to examine this effect analytically. The empirical evidence presented in the literature is often contradictory and remains unexplained because of a lack of an analytical insight into the causes of the intervaling effect.
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