Does risk-neutral skewness predict the cross section of equity option portfolio returns?.

Does risk-neutral skewness predict the cross section of equity option portfolio returns?.

Bibliographic Details
Published in:Journal of financial and quantitative analysis V. 48, 1-4,5 (2013).
Main Author: Bali, Turan G.
Format: Article
Language:English
Subjects:
Stock options.
Options markets.
Rates of return.
Stock prices.
Volatility.