Download or read book Skewness and the Asymmetry in Earnings Announcement Returns written by Benjamin M. Blau and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Much of traditional asset pricing theory rests on the assumption of normality in the distribution of stock returns. A growing body of research suggests that skewness in the return distributions can affect asset prices. This paper attempts to empirically identify factors that influence return skewness. Consistent with theory in Xu (2007), we find that prices during the post-earnings announcement period are more convex for firms that have tighter short-sale constraints and for firms where there appears to be greater disagreement among investors. Perhaps more importantly, we also find that price convexity is a key determinant in the skewness of stocks.