Corrado C, Su T (1996) Skewness and kurtosis in S&P 500 index returns implied by option prices. J Financ Res 19:175–192Corrado, Charles J. and Tie Su (1996): "Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices". Journal of Financial Research 19(2) (Summer) pp...
The strategy we would be talking about can be found in our database under the name#281 – Skewness Effect in Commoditiesand is built on a research paper written by Fernandez-Perez, Frijns, Fuertes and Miffre –The Skewness of Commodity Futures Returns. Guys atAlphaArchitecthave been really ge...
We investigate the pricing implications of market volatility, skewness, and kurtosis for the cross section of stock returns, using estimates of the moments of the market return extracted from index options. We find that stocks with high exposure to innovations in implied market skewness exhibit low...
Specifically, we regress market skewness on the global common factors and regard the R-squared as a measure of systemic risk named the skewness-based integration (SI). By contrast, we name the integration measure proposed by Pukthuanthong and Roll (2009) as return-based integration (RI). In...
Stock Index Futures Trading and Volatility in International Equity Markets 热度: Execution Strategies in Equity Markets 热度: Volume and skewness in international equity markets q,qq Elaine Hutson a, * , Colm Kearney b , Margaret Lynch b