Heterogeneous Beliefs and Risk-Neutral Skewness
利用2003-2006年芝加哥期权交易所个股期权数据，检验投资者信念差异是否影响风险中性偏度的横截面变化，发现信念差异越大的股票偏度越负，且信念因子比风险因子解释力更强。
Abstract This study tests whether belief differences affect the cross-sectional variation of risk-neutral skewness using data on firm-level stock options traded on the Chicago Board Options Exchange from 2003 to 2006. We find that stocks with greater belief differences have more negative skews, even after controlling for systematic risk and other firm-level variables known to affect skewness. Factor analysis identifies latent variables linked to risk and belief differences. The belief factor explains more variation in the risk-neutral skewness than the risk-based factor. Our results suggest that belief differences may be one of the unexplained firm-specific components affecting skewness.