Skewed stock returns (Market Close, May 15, 2023)
This is a list of US-listed stocks that have a significant skew to their daily price returns. They have more frequent positive or negative daily returns over the past year than can be explained by a normal distribution.
We would expect to see a relationship between price changes and skewness, which would indicate skewness is a momentum or relative strength indicator.
We would expect to see a relationship between price changes and skewness, which would indicate skewness is a momentum or relative strength indicator.
Maximum and minimum skew stocks
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Skewness: Interesting stock data to capture and report.
We can run our analysis and create a portfolio with the highest (positive) and lowest (negative) skew stocks. This includes all stocks (profitable and unprofitable) that pass our data validation. This is what we now call the QQQ run, but is not yet available to outside clients via our website. It is available to clients who buy via an invoice and pre-order.
When we have analyzed this on an ad-hoc basis, we notice there are differences in stock returns based on skewness.
We can run our analysis and create a portfolio with the highest (positive) and lowest (negative) skew stocks. This includes all stocks (profitable and unprofitable) that pass our data validation. This is what we now call the QQQ run, but is not yet available to outside clients via our website. It is available to clients who buy via an invoice and pre-order.
When we have analyzed this on an ad-hoc basis, we notice there are differences in stock returns based on skewness.