Asymmetry Of Returns Research Articles

Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness

Abstract This paper provides a time-series test for the Differences-of-Opinion theory proposed by Hong and Stein (2003) [Hong, H., Stein, J.C., 2003. Differences of opinion, short-sales constraints and market crashes. Review of Financial Studies 16, 487–525.] in the aggregate market, thus extending the cross-sectional test of Chen et al. (2001) [Chen, J., Hong, H., Stein, J.C.. 2001. Forecasting crashes: trading volume, past returns and conditional skewness in stock prices. Journal of Financial Economics 61, 345–381.] for this theory across individual stocks. An autoregressive conditional density model with a skewed-t distribution is used to estimate the effects of past trading volume on return asymmetry. Using NYSE and AMEX data from 1962 to 2000, we find that the prediction of the Hong–Stein model that negative skewness will be most pronounced under high trading volume conditions is not supported in our time-series analysis with market data.

Do Short-Sellers Arbitrage Accounting-Based Stock Market Anomalies?*

We find a positive association between short-selling and accruals, capital expenditures, and (less robustly) NOA among NASDAQ firms during 1988-2003. The associated return anomalies are asymmetric; the absolute value of mean abnormal returns is larger for high accrual or high capital expenditure firms than low accrual or low capital expenditure firms on NASDAQ, but not on NYSE. For an NOA-based strategy the return asymmetry is also larger on NASDAQ than on NYSE. These findings indicate that for some firms short arbitrage weakens these anomalies on the down side, but that among NASDAQ firms short sales constraints limit the effectiveness of short arbitrage.

Multifractal model of asset returns with leverage effect

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the Lux model and refine the underlying phenomenological picture. We also give a procedure of fitting all parameters to empirical data. We present a new approach to account for the effective length of power-law memory in volatility. The second part of the paper deals with the consequences of asymmetry in returns. We incorporate two related stylized facts, skewness and leverage autocorrelations into the model. Then from Monte Carlo measurements we show, that this asymmetry significantly increases the mean squared error of volatility forecasts. Based on a filtering method we give evidence on similar behavior in empirical data.

The Determinants of Conditional Autocorrelation in Stock Returns

AbstractWe investigate whether return volatility, trading volume, return asymmetry, business cycles, and day‐of‐the‐week are potential determinants of conditional autocorrelation in stock returns. Our primary focus is on the role of feedback trading and the interplay of return volatility. We present empirical evidence using conditional autocorrelation estimates generated from multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) models for individual U.S. stock and index data. In addition to return volatility, we find that trading volume and market returns are important in explaining the time‐varying patterns of return autocorrelation.

Contingent Claims on Foreign Assets Following Jump-Diffusion Processes

In this paper we price contingent claims on several foreign assetsthat follow jump-diffusion processes. Discontinuities (jumps) arise dueto the assets' movement in the respective countries, or the exchangerates, or both. We assume the existence of multiple classes (sources)of jumps. Each jump can affect one or more state-variables and is definedby its intensity of arrival and by the joint probability distributionof its magnitude. The existence of jumps gives rise to significant deviationsfrom the joint lognormality assumptions of the multivariate geometricBrownian motion, and affords more flexibility in capturing the empiricallyobserved asymmetry and fat tails in asset returns. Analytic solutionsare provided for the European option on the best of several assets withoutor with exchange rate (quanto-type) protection. A Markov-chainnumerical method that can also handle American claims is given and itsaccuracy is demonstrated. Neglecting the effect of jumps causes seriousmisspricing and leads to erroneous decision-making when purchasing orexercising such options.

Returns and Volatility Asymmetries in Global Stock Markets

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports the hypothesis that stock index returns are positively correlated with a composite of stock return news, which is obtained by a weighted average of the lagged domestic and US stock index returns. Moreover, we find that negative news will cause a larger decline in a national stock return than will an equal magnitude of good news. This also holds true for the conditional variance. The variance appears to be more volatile and persistent when bad news hits the market than when good news does. Consistent with existing literature, asymmetries in stock returns are not independent of asymmetries in volatility since a larger adjustment in stock prices to bad news is likely to cause domestic investors to change the debt-equity ratio, leading to higher volatility in stock market.

Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of returns. These characteristics are captured by the skewness and the kurtosis. We characterize the maximal range of skewness and kurtosis for which a density exists and show that the generalized Student-t distribution spans a large domain in the maximal set. We use this distribution to model innovations of a GARCH type model, where parameters are conditional. After demonstrating that an autoregressive specification of the parameters may yield spurious results, we estimate and test restrictions of the model, for a set of daily stock-index and foreign-exchange returns. The estimation is implemented as a constrained optimization via a sequential quadratic programming algorithm. Adequacy tests demonstrate the importance of a time-varying distribution for the innovations. In almost all series, we find time dependency of the asymmetry parameter, whereas the degree-of-freedom parameter is generally found to be constant over time. We also provide evidence that skewness is strongly persistent, but kurtosis is much less so. A simulation validates our estimations and we conjecture that normality holds for the estimates. In a cross-section setting, we also document covariability of moments beyond volatility, suggesting that extreme realizations tend to occur simultaneously on different markets.

Stable modeling in energy risk management

High price volatility in energy markets compels the companies to adopt and implement policies for measurement and management of the energy risk. A popular measure of risk exposure is the Value at Risk (VaR). Traditional methods of estimation of VaR used by major energy companies fail to capture the heavy tails and asymmetry of energy returns distributions. We suggest the use of stable distributions for modeling energy return distributions. The results of our study demonstrate that stable modeling captures asymmetry and heavy-tails of returns, and, therefore, provides more accurate estimates of energy VaR.

Attending to the thalamus: inhibition of return and nasal-temporal asymmetry in the pulvinar.

Inhibition of return (IOR) is a mechanism whereby the attentional system favors novel locations by inhibiting already scanned ones. An important question is what the neural structures are involved. Recently, we studied a patient with damage to the superior colliculus (SC) and concluded that the SC generates IOR. However, it is possible that IOR is generated beyond the colliculus, for example, by the pulvinar. In this paper we tested three patients with unilateral damage to the pulvinar and demonstrated that the pulvinar is not necessary for IOR generation, providing additional support to the suggestion that the SC generates IOR. In addition, since we used monocular presentation, we were able to furnish behavioral evidence for nasal-temporal asymmetrical representation of visual input in the pulvinar.

Stock returns and volatility: Evidence from the Athens Stock market index

This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990–1999 through the comparison of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks into volatility.

The interaction and volatility asymmetry of unexpected returns in the greater China stock markets

The response of investors to unexpected returns and the information transmission in the stock markets of the Greater China area are investigated in this study. First, we analyze the asymmetric reaction of return volatility to good and bad news by utilizing generalized autoregressive conditional heteroskedasticity (GARCH) model. We find that the impact of bad news (negative unexpected return) on future volatility is greater than the impact of good news (positive unexpected return) of the same magnitude in Taiwan and Hong Kong, consistent with the previous literature. However, just the opposite is found in the Shanghai and Shenzhen markets, implying good-news-chasing behavior of the investors. This phenomenon also indicates that behaviors of the investors in Mainland China may be inclined to support the trading noise hypothesis. Further, this study examines information transmission of contemporaneous and cross-period by exploring the interaction of unexpected returns among these four markets. The results of a near vector autoregressions (VAR) model reveal that the Hong Kong stock market plays a most influential role (regional force) among the Taiwan, Shanghai, and Shenzhen B-share stock markets. Finally, the stock returns in the Taiwan market, which has been quite independent of the Mainland China stock markets, became negatively correlated with the Shanghai B-share market during the Taiwan Strait Crisis period. The interaction among financial markets seems to be strengthened by political incidents.

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the prior six months; and 2) positive returns over the prior thirty-six months. The first finding is consistent with the model of Hong and Stein (1999), which predicts that negative asymmetries are more likely to occur when there are large differences of opinion among investors. The latter finding fits with a number of theories, most notably Blanchard and Watson's (1982) rendition of stock-price bubbles. Analogous results also obtain when we attempt to forecast the skewness of the aggregate stock market, though our statistical power in this case is limited.

Zinc Coordination, Asymmetry, and Allostery of the Human Insulin Hexamer

ADVERTISEMENT RETURN TO ISSUEPREVCommunicationNEXTZinc Coordination, Asymmetry, and Allostery of the Human Insulin HexamerMark L. BraderView Author Information Lilly Research Laboratories Eli Lilly and Company Indianapolis, Indiana 46285-6414 Cite this: J. Am. Chem. Soc. 1997, 119, 32, 7603–7604Publication Date (Web):August 13, 1997Publication History Received31 January 1997Revised23 April 1997Published online13 August 1997Published inissue 1 August 1997https://doi.org/10.1021/ja970324wCopyright © 1997 American Chemical SocietyRIGHTS & PERMISSIONSArticle Views389Altmetric-Citations8LEARN ABOUT THESE METRICSArticle Views are the COUNTER-compliant sum of full text article downloads since November 2008 (both PDF and HTML) across all institutions and individuals. These metrics are regularly updated to reflect usage leading up to the last few days.Citations are the number of other articles citing this article, calculated by Crossref and updated daily. Find more information about Crossref citation counts.The Altmetric Attention Score is a quantitative measure of the attention that a research article has received online. Clicking on the donut icon will load a page at altmetric.com with additional details about the score and the social media presence for the given article. Find more information on the Altmetric Attention Score and how the score is calculated. Share Add toView InAdd Full Text with ReferenceAdd Description ExportRISCitationCitation and abstractCitation and referencesMore Options Share onFacebookTwitterWechatLinked InReddit Read OnlinePDF (106 KB) Get e-AlertsSUBJECTS:Aromatic compounds,Ligands,Peptides and proteins,Titration,Zinc Get e-Alerts

Structure and Asymmetry in the Isomeric Conversion of β- to α-Endosulfan

ADVERTISEMENT RETURN TO ISSUECommunicationNEXTStructure and Asymmetry in the Isomeric Conversion of β- to α-EndosulfanWalter F. Schmidt, Cathleen J. Hapeman, James C. Fettinger, Clifford P. Rice, and Susanna BilboulianView Author Information Environmental Chemistry Laboratory, Natural Resources Institute, Agricultural Research Service, U.S. Department of Agriculture, Beltsville, Maryland 20705, and Department of Chemistry and Biochemistry, University of Maryland, College Park, Maryland 20742Cite this: J. Agric. Food Chem. 1997, 45, 4, 1023–1026Publication Date (Web):April 16, 1997Publication History Received7 January 1997Published online16 April 1997Published inissue 1 April 1997https://doi.org/10.1021/jf970020tCopyright © 1997 American Chemical SocietyRIGHTS & PERMISSIONSArticle Views605Altmetric-Citations59LEARN ABOUT THESE METRICSArticle Views are the COUNTER-compliant sum of full text article downloads since November 2008 (both PDF and HTML) across all institutions and individuals. These metrics are regularly updated to reflect usage leading up to the last few days.Citations are the number of other articles citing this article, calculated by Crossref and updated daily. Find more information about Crossref citation counts.The Altmetric Attention Score is a quantitative measure of the attention that a research article has received online. Clicking on the donut icon will load a page at altmetric.com with additional details about the score and the social media presence for the given article. Find more information on the Altmetric Attention Score and how the score is calculated. Share Add toView InAdd Full Text with ReferenceAdd Description ExportRISCitationCitation and abstractCitation and referencesMore Options Share onFacebookTwitterWechatLinked InReddit Read OnlinePDF (128 KB) Get e-AlertsSUBJECTS:Conformation,Group theory,Molecular structure,Molecules,Organochlorine Get e-Alerts

Australian Stock Market Volatility: 1875–1987*

This paper investigates the volatility of monthly Australian stock returns over the period 1875–1987. There has been extensive work on this question in the United States, but little with data outside that country. Our analysis centres upon whether the ‘stylized facts’ regarding returns in the US also hold true for Australia. We find that there are both similarities and differences. There is little evidence for asymmetry in Australian returns but strong persistence of shocks into volatility. What is particularly interesting in the Australian series is the large volatility of the last two decades, an experience not matched in the US data

Transport phenomena and asymmetry effects in membranes with asymmetric fixed charge distributions

ADVERTISEMENT RETURN TO ISSUEPREVArticleNEXTTransport phenomena and asymmetry effects in membranes with asymmetric fixed charge distributionsJose A. Manzanares, Salvador Mafe, and Julio PellicerCite this: J. Phys. Chem. 1991, 95, 14, 5620–5624Publication Date (Print):July 1, 1991Publication History Published online1 May 2002Published inissue 1 July 1991https://doi.org/10.1021/j100167a046RIGHTS & PERMISSIONSArticle Views101Altmetric-Citations74LEARN ABOUT THESE METRICSArticle Views are the COUNTER-compliant sum of full text article downloads since November 2008 (both PDF and HTML) across all institutions and individuals. These metrics are regularly updated to reflect usage leading up to the last few days.Citations are the number of other articles citing this article, calculated by Crossref and updated daily. Find more information about Crossref citation counts.The Altmetric Attention Score is a quantitative measure of the attention that a research article has received online. Clicking on the donut icon will load a page at altmetric.com with additional details about the score and the social media presence for the given article. Find more information on the Altmetric Attention Score and how the score is calculated. Share Add toView InAdd Full Text with ReferenceAdd Description ExportRISCitationCitation and abstractCitation and referencesMore Options Share onFacebookTwitterWechatLinked InReddit PDF (613 KB) Get e-Alerts

Asymmetry in Australian Equity Returns

The importance of asymmetry in investment assessment is established and past research into the matter for Australian and U.S. equities is reviewed. Asymmetry, especially of the positive variety, is found to be a prevalent empirical phenomenon for Australian shares. Diversification is found to increase average asymmetry decreases with diversification. Evidence regarding the stationarity of cross-sectional asymmetry distributions is mixed.

Size and asymmetry of spatial distributions for unperturbed triglycerides

ADVERTISEMENT RETURN TO ISSUEPREVArticleNEXTSize and asymmetry of spatial distributions for unperturbed triglyceridesWayne L. MatticeCite this: J. Am. Chem. Soc. 1979, 101, 3, 732–736Publication Date (Print):January 1, 1979Publication History Published online1 May 2002Published inissue 1 January 1979https://doi.org/10.1021/ja00497a040RIGHTS & PERMISSIONSArticle Views36Altmetric-Citations4LEARN ABOUT THESE METRICSArticle Views are the COUNTER-compliant sum of full text article downloads since November 2008 (both PDF and HTML) across all institutions and individuals. These metrics are regularly updated to reflect usage leading up to the last few days.Citations are the number of other articles citing this article, calculated by Crossref and updated daily. Find more information about Crossref citation counts.The Altmetric Attention Score is a quantitative measure of the attention that a research article has received online. Clicking on the donut icon will load a page at altmetric.com with additional details about the score and the social media presence for the given article. Find more information on the Altmetric Attention Score and how the score is calculated. Share Add toView InAdd Full Text with ReferenceAdd Description ExportRISCitationCitation and abstractCitation and referencesMore Options Share onFacebookTwitterWechatLinked InReddit PDF (548 KB) Get e-Alerts Get e-Alerts