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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? · Study

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PreprintDoes Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Turan G. Bali2012

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Preprintgreen2012

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Turan G. Bali · Scott Murray

99 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1999Coherent Measures of Risk 1990Evidence of Predictable Behavior of Security Returns 1990Fads, Martingales, and Market Efficiency 2010Deviations from Put-Call Parity and Stock Return Predictability 2009Cross-section of option returns and volatility☆2009Volatility Spreads and Expected Stock Returns

Cited by

2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options 2018Measuring Skewness Premia 2013Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns 2015Lottery-Related Anomalies: The Role of Reference-Dependent Preferences 2018Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market 2018The SKEW Index: Extracting What Has Been Left

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2013Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?article · 8 shared references 2014The Joint Cross Section of Stocks and Optionsarticle · 7 shared references 2013The Joint Cross Section of Stocks and Optionsreport · 7 shared references 2016Empirical Asset Pricing: The Cross Section of Stock Returnsarticle · 6 shared references 2023Option Return Predictability with Machine Learning and Big Dataarticle · 6 shared references 2023Option Momentumarticle · 6 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations99

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1572827

openalex_workW2152197350

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