Abstract
This paper examines the (a)symmetry of several individual stock returns at different investment horizons: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely in weekly and monthly returns. The explanation for this fact lies in the convergence to normality that takes place when the investment horizon increases. These features allow one to question several financial models; in particular, they question the preference for positive skewness as a factor for investments in stock markets.
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