Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns
We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns are...
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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2019
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/3611 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4610/viewcontent/Option_Implied_Volatility_Skewness_2019_wp.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |