It is common knowledge that investors like large gains and dislike large losses. This translates into a preference for right-skewed return distributions, with right tails heavier than left tails. Skewness is thus interesting not only as a way to describe the shape of a distribution, but also for risk measurement. We review the statistical literature on skewness and provide a comprehensive framework for its assessment. We present a new measure of skewness, based on a relative comparison between above average and below average returns. We show that this measure represents a valid complement to the state of the art.

Campisi, G., L., La Rocca e S., Muzzioli. "Assessing skewness in financial markets" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2020. https://doi.org/10.25431/11380_1207426

Assessing skewness in financial markets

Campisi, G.
;
La Rocca, L.;Muzzioli, S.
2020

Abstract

It is common knowledge that investors like large gains and dislike large losses. This translates into a preference for right-skewed return distributions, with right tails heavier than left tails. Skewness is thus interesting not only as a way to describe the shape of a distribution, but also for risk measurement. We review the statistical literature on skewness and provide a comprehensive framework for its assessment. We present a new measure of skewness, based on a relative comparison between above average and below average returns. We show that this measure represents a valid complement to the state of the art.
2020
Gennaio
Campisi, G.; La Rocca, L.; Muzzioli, S.
Campisi, G., L., La Rocca e S., Muzzioli. "Assessing skewness in financial markets" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2020. https://doi.org/10.25431/11380_1207426
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1207426
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