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Do highly liquid (blue chip) stocks exhibit positive skewness more than negative skewness? If so, would positive, rather than negative, skewness be an appropriate and intuitive prior when modeling return distributions?

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I think most people agree that aggregate (index) stock returns have negative skewness. However, this does not appear to be the case for individual stock returns. These two papers find that average skewness of individual stock returns is positive though time-varying: Paper 1 R. Albuquerque, Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns, RFS, 25-5, May 2012, Pages 1630–1673, Paper 2 Jondeau, Zhang, Zhu, Average Skewness Matters, July 2018, WP. The second paper also has some separate results for large liquid stocks.

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