Skewed U.S. common stocks: June 12, 2024
Skewness is the asymmetry of a frequency distribution of a random variance about its mean. It is a stock price change frequency distribution chart that is asymmetric, with a tail on one side of the mean, and more 'close in' observations on the other side.
A normal distribution is a symmetrical distribution around a mean change, and has a skewness value of zero. We set a positive and negative skewness limit that identifies just a few of the stocks with the largest degree of stock price skewness (see below for current limit).
We identify US-listed common stocks with a significant positive skew or a significant negative skew to their daily price changes. We think of this as more changes in one direction (vs. the mean change) offset by fewer but larger changes in the other direction.
Positive Skew
A positive skew stock means there are more daily price changes that are worse than the average (or mean) change, offset by larger and less frequent changes that are better than the average.
Here is a theoretical example of a company with a positively skewed stock price:
- we have a stock that did not change in price over the past year (mean change = zero).
- all year the stock tended to drop, lots of red or negative days, terrible publicity, short sellers targeted the stock all year
- the stock had a short squeeze, or sharp reversal, and it drove the price of the stock back up
Another example (theoretical) of a company with a positively skewed stock price:
- there is a stock with deteriorating financial conditions, so the stock continually is priced lower and drops
- they discover and announce an innovation or new product that excites the market, and so new investment rushes in
- by the end of the year, the stock is back where it started
Negative Skew
A company with a negatively skewed stock price has more frequent days where the stock price does better than the mean, offset by fewer, larger price changes that are worse than the mean change. A negative skewed stock's frequency distribution (or bell-shaped curve) tends to lean forward, or towards gains, but is anchored with a longer tail of losses.
A normal distribution is a symmetrical distribution around a mean change, and has a skewness value of zero. We set a positive and negative skewness limit that identifies just a few of the stocks with the largest degree of stock price skewness (see below for current limit).
We identify US-listed common stocks with a significant positive skew or a significant negative skew to their daily price changes. We think of this as more changes in one direction (vs. the mean change) offset by fewer but larger changes in the other direction.
Positive Skew
A positive skew stock means there are more daily price changes that are worse than the average (or mean) change, offset by larger and less frequent changes that are better than the average.
Here is a theoretical example of a company with a positively skewed stock price:
- we have a stock that did not change in price over the past year (mean change = zero).
- all year the stock tended to drop, lots of red or negative days, terrible publicity, short sellers targeted the stock all year
- the stock had a short squeeze, or sharp reversal, and it drove the price of the stock back up
Another example (theoretical) of a company with a positively skewed stock price:
- there is a stock with deteriorating financial conditions, so the stock continually is priced lower and drops
- they discover and announce an innovation or new product that excites the market, and so new investment rushes in
- by the end of the year, the stock is back where it started
Negative Skew
A company with a negatively skewed stock price has more frequent days where the stock price does better than the mean, offset by fewer, larger price changes that are worse than the mean change. A negative skewed stock's frequency distribution (or bell-shaped curve) tends to lean forward, or towards gains, but is anchored with a longer tail of losses.
List of Excessively Positive and Negative Skew Stocks
We found these positive skewness stocks today, ticker and skewness, with a lower skewness limit of six (6.0):
LENZ 12.991
TPST 12.394
CPRI 12.373
LBPH 11.720
VTGN 11.482
INSM 11.142
HA 11.048
GYRE 10.520
BNED 10.485
MTTR 9.849
JANX 9.275
BDTX 8.836
BATRK 8.584
IMVT 8.088
CGEN 7.950
CRKN 7.548
FWONK 6.946
SMMT 6.894
USM 6.645
URGN 6.109
We found these negative skewness stocks today:
LSXMK -13.736
LSXMA -13.504
ACRS -13.129
RPHM -13.048
AMLX -12.987
MRNS -12.720
DSGN -11.075
SSRM -10.976
MGNX -10.736
IZM -10.380
VSTM -9.838
DRRX -9.736
ALTO -9.550
GLTO -9.539
AKRO -9.439
RAPT -8.948
SPRY -8.856
PAYC -8.586
EVC -8.404
VTYX -8.369
IKNA -8.346
B -8.225
ALVR -8.209
ATRA -8.158
OTLK -8.027
TMCI -7.941
NSSC -7.899
DRVN -7.882
ETWO -7.859
VYX -7.785
SGH -7.734
WOW -7.668
ADM -7.610
MRSN -7.573
SAGE -7.550
FGEN -7.471
DV -7.431
IRON -7.159
AADI -7.075
CXM -6.998
ALDX -6.901
DBX -6.806
XPEL -6.781
IAS -6.718
PERI -6.662
SKIN -6.624
SRPT -6.443
WCC -6.415
ALLK -6.353
SILK -6.284
IRWD -6.116
SPT -6.061
BMEA -6.050
LENZ 12.991
TPST 12.394
CPRI 12.373
LBPH 11.720
VTGN 11.482
INSM 11.142
HA 11.048
GYRE 10.520
BNED 10.485
MTTR 9.849
JANX 9.275
BDTX 8.836
BATRK 8.584
IMVT 8.088
CGEN 7.950
CRKN 7.548
FWONK 6.946
SMMT 6.894
USM 6.645
URGN 6.109
We found these negative skewness stocks today:
LSXMK -13.736
LSXMA -13.504
ACRS -13.129
RPHM -13.048
AMLX -12.987
MRNS -12.720
DSGN -11.075
SSRM -10.976
MGNX -10.736
IZM -10.380
VSTM -9.838
DRRX -9.736
ALTO -9.550
GLTO -9.539
AKRO -9.439
RAPT -8.948
SPRY -8.856
PAYC -8.586
EVC -8.404
VTYX -8.369
IKNA -8.346
B -8.225
ALVR -8.209
ATRA -8.158
OTLK -8.027
TMCI -7.941
NSSC -7.899
DRVN -7.882
ETWO -7.859
VYX -7.785
SGH -7.734
WOW -7.668
ADM -7.610
MRSN -7.573
SAGE -7.550
FGEN -7.471
DV -7.431
IRON -7.159
AADI -7.075
CXM -6.998
ALDX -6.901
DBX -6.806
XPEL -6.781
IAS -6.718
PERI -6.662
SKIN -6.624
SRPT -6.443
WCC -6.415
ALLK -6.353
SILK -6.284
IRWD -6.116
SPT -6.061
BMEA -6.050
Here is a short video we made in 2022 about skewness and the data we provide.