Asymmetry in stock returns and accounting information

By classifying the Company's shares as value stock or growth stock, returns behave like a particular form, so that we can predict their behavior. Skewness of returns is used as the main criterion to verify the existence of asymmetries in stock returns on the Iranian Stock Exchange member firms. Correlation between skewness in stock returns in the categories of book value to market value of the shares at the top (or bottom) shows the trends of negative (or positive) in stock returns. Based on the findings, the value or glamour-stock puzzle is partially described by investor preference for positive skewness in stock returns. Such preference for skewness is in accordance with the investors' preferences, which have inverse S-shaped utility functions. This paper offers some further evidences of the significant predictive power of accounting-based measures, such as book rate of returns, for skewness of stock returns. After testing the hypotheses, a positive correlation is found between returns for firms with growth stocks.

کلیدواژه ها:

growth stock ، value stock ، skewness of stock returns ، book value to market value ratio ، سهام رشدی ، سهام ارزشی ، چولگی بازده های سهام ، نسبت ارزش دفتری به بازار