Stock Return Asymmetry: Beyond Skewness
提出两种基于分布函数而非三阶矩的股票收益不对称性度量，实证发现新度量下的上行不对称性越高，股票平均收益越低，而传统偏度与收益关系不明确。
In this article, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that the greater upside asymmetries calculated using our new measures imply lower average returns in the cross section of stocks. In contrast, when using the skewness measure, the relationship between asymmetry and returns is inconclusive.