Dr. Guofu Zhou
Olin Business School, Washington University in St. Louis

" Stock Return Asymmetry: Beyond Skewness?"

Abstract:
In this paper, we propose two asymmetry measures of stock returns. In contrast
to the usual skewness measure, ours are based on the distribution function of the data
instead of just the third moment. While it is inconclusive with the skewness, we nd
that, with our new measures, greater upside asymmetries imply lower average returns
in the cross section of stocks, which is consistent with theoretical models such as those
proposed by Barberis and Huang (2008) and Han and Hirshleifer (2015).