Do markets typically fall fast, and rise slowly

I'm wondering if there is some measurement or name to this notion, i.e.:

Markets typically fall fast, but rise slowly.

It seems like this is the case -- get some bad news out of Europe on the debt crisis there, and things drop fast. Then, in the absence of daily bad news, things tend to rise ... slowly. Is this the way markets operate most of the time? Do you know of data that backs this up, if it is true?

Answer

Equity returns have persistent negative skewness and excess kurtosis[1] over longer periods. So yes you're right: a majority of the daily returns is positive and small and a minority of the returns is negative and larger. This can be quite extreme, for example Black Monday.

I don't have the data right now but you can get returns on major indices freely.

[1] There are two definitions of kurtosis, $K$ and $K'$ such that $K = K'-3$. The normal distribution has $K=3$. If a distribution or sample has $K>3$ we say it has excess kurtosis. This implies that the tails are fat compared to the normal distribution.