| Item Type |
Conference or Workshop Item
(Lecture)
|
| Abstract |
We show empirically that option-implied quantile skewness is priced differently depending on which portion of the risk-neutral distribution it is estimated from: Quantile skewness estimated from the tail (center) of the risk-neutral distribution is positively (negatively) related to future stock returns. Our results are consistent with investors who rely on information from traded options and disregard information from the extrapolated volatility surface. Furthermore, we find that quantile skewness is highly correlated with central skewness but more robust. Estimates of quantile skewness are accurate even if option prices span a small domain, have large gaps between strikes, and are noisy. |
| Authors |
Ammann, Manuel & Feser, Alexander |
| Journal or Publication Title |
20th ANNUAL CONFERENCE OF THE SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH |
| Language |
English |
| Subjects |
finance |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
SEPS - Quantitative Economic Methods |
| Date |
31 March 2017 |
| Place of Publication |
Zürich |
| Event Title |
20th ANNUAL CONFERENCE OF THE SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH |
| Event Location |
Zürich |
| Event Dates |
31.03.2017 |
| Contact Email Address |
alexander.feser@unisg.ch |
| Depositing User |
Alexander Feser
|
| Date Deposited |
21 Jun 2017 12:17 |
| Last Modified |
20 Jul 2022 17:31 |
| URI: |
https://www.alexandria.unisg.ch/publications/251063 |
Information Uncertainty and the Puzzle of Option-Implied Skewness
