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

By Turan G. Bali, Scott Murray. Journal of Financial and Quantitative Analysis, 2013

216 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6844619d5c20c296447ff8e6170928696e0cf9a2

Citations in the corpus

• The Skewness of Commodity Futures Returns (2018, unknown): “, 2015) and equity derivatives (Bali and Murray, 2013; Boyer and Vorkink, 2014) indicates that the negative relation we observe between skewness and expected returns reflects a pervasive phenomenon that is unlikely to disappear after this and other articles are published.”
• Nominal price illusion (2016, unknown): “Email: bwang46@fordham.edu.”