The negative news threshold—An explanation for negative skewness in stock returns
本文结合管理披露行为模型与对称市场反应，发现非计划性新闻披露日的收益是股票收益负偏态的根源，且该现象仅存在于管理层持有股票期权的公司。
Abstract A vast literature documents negative skewness in stock index return distributions on several markets. In this paper the issue of negative skewness is approached from a different angle to previous studies by combining the Trueman's 1997 model of management disclosure practices with symmetric market responses in order to explain negative skewness in stock returns. Empirical tests reveal that returns for days when non-scheduled news items are disclosed are the source of negative skewness in stock returns, as predicted. These findings suggest that negative skewness in stock returns is induced by asymmetries in the news disclosure policies of firm management. Furthermore, it is found that the returns are negatively skewed only for non-scheduled firm-specific news disclosures for firms where the management is compensated with stock options.