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

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2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options99 cited
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2013Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns81 cited
2015Lottery-Related Anomalies: The Role of Reference-Dependent Preferences49 cited
2018Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market42 cited
2018The SKEW Index: Extracting What Has Been Left

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32 cited

2015Option Trading Costs Are Lower than You Think29 cited

2017The Information Content of the Term Structure of Risk-Neutral Skewness28 cited