Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
收藏NBER2000-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7687
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资源简介：
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1
提供机构：
美国国家经济研究局
创建时间：
2000-05-01
