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• W3122912258 abstract "We investigate the relationship between ex ante total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, in contrast to the traditional view that only coskewness is priced. We find, consistent with recent theory, that total skewness exhibits a strong negative relationship with average option returns. Differences in average returns for option portfolios sorted on ex ante skewness range from 10% to 50% per week, even after controlling for risk. Our findings suggest that these large premiums compensate intermediaries for bearing unhedgeable risk when accommodating investor demand for lottery-like options." @default.
• W3122912258 created "2021-02-01" @default.
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• W3122912258 date "2014-07-18" @default.
• W3122912258 modified "2023-10-17" @default.
• W3122912258 title "Stock Options as Lotteries" @default.
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• W3122912258 doi "https://doi.org/10.1111/jofi.12152" @default.
• W3122912258 hasPublicationYear "2014" @default.
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