This paper uses stock price synchronicity to explain the cross-sectional variation in return asymmetries during the period in Australia between 2006 and 2009. We show that returns are more positively skewed for firms that have high stock price synchronicity. We argue that firms with high stock price synchronicity have lower information asymmetries (Barberis et al., 2005; Chan and Hameed, 2006). Investors in these firms, therefore, react less severely to negative shocks than firms with low stock price synchronicity. As a result of this asymmetric reaction to negative shocks, firms with high stock price synchronicity have more positively skewed returns than firms with low stock price synchronicity. Our results are robust in different time periods, across different sub-samples, and in different model specifications.