search query: @freeterm SKEWNESS / total: 4
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| Author: | Chen, J. Hong, H. Stein, J. C. |
| Title: | Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices |
| Journal: | Journal of Financial Economics
2001 : SEP, VOL. 61:3, p. 345-381 |
| Index terms: | SHARE PRICES TRADING VOLUMES |
| Freeterms: | CRASHES SKEWNESS |
| Language: | eng |
| Abstract: | The authors develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced 1) an increase in trading volume relative to trend over the prior six months, consistent with the model of Hong and Stein (NBER Working Paper, 1999), and 2) positive returns over the prior 36 months, which fits with a number of theories, most notably Blanchard and Watson's (Crises in Economic and Financial Structure. Lexington Books, Lexington, MA, 1982, pp. 295-315) rendition of stock-price bubbles. |
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