Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130436
Authors: 
Davies, Laurie
Krämer, Walter
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper 5806
Abstract: 
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it is also absent in stock price indices, which points to explanations based on firm-specific drivers of returns.
Subjects: 
financial economics
empirical finance
stylized facts
stock returns
spoon effect
JEL: 
C58
G10
G15
Document Type: 
Working Paper

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