What does risk-neutral skewness tell us about future stock returns?
Przemysław S. Stilger, Alexandros Kostakis, Ser-Huang Poon
| Year of publication: |
June 2017
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|---|---|
| Authors: | Stilger, Przemysław S. ; Kostakis, Alexandros ; Poon, Ser-Huang |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 6, p. 1814-1834
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| Subject: | option-implied information | risk-neutral skewness | hedging pressure | overvaluation | short-selling constraints | Hedging | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Aktienoption | Stock option |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2015.2379 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011707251