J. Clay Singleton, Joseph R. Lauer, The Implications of Recursiveness in Capital Markets--Theory and Empirical Tests, The Journal of Financial and Quantitative Analysis, Vol. 14, No. 1 (Mar., 1979), pp. 59-76

Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.