If we have multivariate stock returns data (daily, weekly, or monthly), what range of skewness values would we typically observe across firms? $-1.5$ to $1.5$, for example

Also can we expect the monthly skewness to always be lower than the weekly skewness? how about daily skewness. (The linked question does not discuss negative skewness whatsoever even though it is more prevalent empirically)

  • $\begingroup$ From the fact that weekly (monthly, annual) returns are convolutions of daily returns, the expected (or average realized?) skewness will decrease towards zero (in absolute terms) with an increasing return window (this is due to the law of large numbers and the convergence towards normals). At least in theory ... $\endgroup$ – Kermittfrog Dec 29 '20 at 17:36

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