It is common knowledge that investors like large gains and dislike large losses.
This translates into a preference for right-skewed return distributions, with right tails heavier than left tails.
Skewness is thus interesting not only as a way to describe the shape of a distribution, but also for risk measurement.
We review the statistical literature on skewness and provide a comprehensive framework for its assessment.
We present a new measure of skewness, based on a relative comparison between above average and below average returns.
We show that this measure represents a valid complement to the state of the art
