What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

Stilger, Przemyslaw S, Kostakis, Alexandros and Poon, Ser-Huang (2017) What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? MANAGEMENT SCIENCE, 63 (6). 1814 - 1834.

Text DefaultMS.pdf - Author Accepted Manuscript Download (1MB)

Item Type:	Article
Uncontrolled Keywords:	option-implied information, risk-neutral skewness, hedging pressure, overvaluation, short-selling constraints
Depositing User:	Symplectic Admin
Date Deposited:	22 Oct 2018 09:54
Last Modified:	19 Jan 2023 01:15
DOI:	10.1287/mnsc.2015.2379
Related URLs:	Author
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3027119

Available Versions of this Item

• What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (deposited 22 Oct 2018 09:54) [Currently Displayed]
  • What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (deposited 21 Feb 2019 11:38)