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en-us Forecasting skewness in stock returns: Evidence from firm-
level data in Tokyo markets Fujii, Mariko; Takaoka, Makoto Mon,
14 Feb 2011 00:00:00 +0000 Although it is well known that the
market rate of return tends to show negative skewness, we find
that the return distribution of individual stocks has shown
positive skewness in the two principal Tokyo markets from 1980
to 2001. This is consistent with the results reported for the US
market. Positive skewness in the returns is more evident for
smaller firms. From our analysis of pooled cross-section data of
individual stocks from 1990 to 2001, we find that there is clear
evidence of the predictive power in the information up until the
current period for the skewness in the following period.
Specifically, a higher volatility and skewness in the return
distribution of the current period is followed by a higher value
of skewness in the following period. Also, the up trends in own
returns in the p