Skewness in individual stocks at different frequencies
Year of publication: 2001
Issue: 7
Type: Working paper
Abstract
This paper examines the (a)symmetry of twenty-four individual stock returns at different frequencies: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely at lower frequencies. The explanation for this fact lies in the convergence to normality that takes place when frequency decreases. 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.