Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returns
利用期权合约的波动率曲面数据，发现风险中性偏度与后续股票回报之间存在稳健的正向横截面关系，且该关系主要由知情交易驱动。
Abstract In this article, we use volatility surface data from options contracts to document a strong, robust, and positive cross-sectional relation between risk-neutral skewness (RNS) and subsequent stock returns. The differential return between high- and low-RNS stocks amounts to 0.17% per week. Preannouncement RNS is positively related to earnings announcement returns, and the positive RNS–return relation is more pronounced for other nonscheduled news releases. This suggests that it is informed trading that drives the positive relation between RNS and subsequent stock returns. We also find that RNS contains incremental information beyond trading signals captured by option-implied volatility and volume.