The anomalous and asymmetric nature of equity returns: an empirical synthesis

On the basis of seemingly anomalous common stock returns, several authors have concluded that the mean and variance testing paradigm is incomplete and that an unspecified missing factor or factors exist. This work advances distributional asymmetry as a reasonable explanation of the empirical results. This position is supported by evidence indicating that ‘variance,’ ‘size,’ and ‘price per share’ effects are more closely associated with the second and third moments than with the first and second.