SSRNTrading, Microstructure & Execution
Co-Jump Asymmetry in Equity Markets
Stocks with higher cojump asymmetry, indicating more left-skewed jump codependence, yield higher average monthly returns, a study using high-frequency stock return data shows.
Featured in No. 100 on 4 Jun 2025 ·
- Released
- 1 May 2017
- First featured
- No. 100 · 4 Jun 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5268226
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