On Estimating Skewness in Stock Returns
Hon-Shiang Lau, John R. Wingender, Amy Hing-Ling Lau
Management Science · 1989 · Volume 35 · Issue 9
Abstract
In recent years skewness has become a much-discussed factor in financial research, and many studies/models involve the skewness of various financial variables. This paper (i) points out the universal neglect in the finance literature of skewness' sampling error and its significant consequences; (ii) presents a simple approach for roughly constructing a confidence interval for skewness estimated from lognormal populations; (iii) points out directions of further research for developing a comprehensive approach for estimating skewness reliably.
Keywords
skewness estimation, distribution of stock returns
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