Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/130436 
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper No. 5806
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.