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- W2591103722 abstract "We show empirically that option-implied quantile skewness is priced differently depending on which portion of the risk-neutral distribution it is estimated from: Quantile skewness estimated from the tail (center) of the risk-neutral distribution is positively (negatively) related to future stock returns. Our results are consistent with investors who rely on information from traded options and disregard information from the extrapolated volatility surface. Furthermore, we find that quantile skewness is highly correlated with central skewness but more robust. Estimates of quantile skewness are accurate even if option prices span a small domain, have large gaps between strikes, and are noisy." @default.
- W2591103722 created "2017-03-03" @default.
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- W2591103722 date "2017-03-31" @default.
- W2591103722 modified "2023-09-27" @default.
- W2591103722 title "Information Uncertainty and the Puzzle of Option-Implied Skewness" @default.
- W2591103722 hasPublicationYear "2017" @default.
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