Price Convexity and Skewness  

Oleh:

Jianguo Xu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2521-2552.
Topik: SKEWNESS; price convexity; skewness
Fulltext: p 2521.pdf (175.82KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper develops a model in which investors who are prohibited from short selling agree to disagree on the precision of a publicly observed signal. The model implies that the equilibrium price is a convex function of the public signal. The model predicts that : 1. the stock price reacts more to good news than to bad news 2. the skewness of stock returns is positively correlated with contemporaneous returns, but negatively correlated with lagged returns 3. short sale constraints increase rather than decrease skewness 4. disagreement about information precision increases skewness. Empirical tests conducted find supportive evidence for all these predictions.

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