Skewness Persistence in Common Stock Returns
研究发现1961至1980年间普通股票收益的正偏度频率相对稳定，但个股和组合的偏度在不同时期不持续，过去正偏收益不能预测未来。
Recent empirical studies have found expost common stock returns to be consistently posi? tively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positivelyskewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed re? turns.