Title:

Skewness in Stock Returns: Reconciling the Evidence on Firm versus Aggregate Returns

Author:

Rui Albuquerque (U Boston, U Católica Portuguesa) U Católica Portuguesa)

Journal:

Review of Financial Studies

Year:

2012

Volume:

25

Pages:

1630-1673

JEL codes:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure