The role of information release on skewness relation and future stock return

Document Type : Research Paper



This research aims to investigate relationship between skewness and future stock return and the impact of information releases on this relationship. Then, the data of 89 companies listed in Tehran Stock Exchange are collected and analyzed for 2009 to 2013. Furthermore, the fixed effect panel data method is used to examine the hypothesis. The results show that there exists a negative and significant relationship between skewness and future stock return. Moreover, the earnings announcements have high impact on the relationship between skewness and stock return. Hence, skewness is negatively related to stock return when there are no earnings announcements, while this relationship loses its significance when there are such information releases.


Main Subjects

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