Ex Ante Skewness and Expected Stock Returns
利用期权价格估算个股风险中性收益分布的事前高阶矩，发现事前波动率、偏度和峰度与未来收益显著相关，且偏度效应在控制共矩后仍然存在。
ABSTRACT We use option prices to estimate ex ante higher moments of the underlying individual securities’ risk‐neutral returns distribution. We find that individual securities’ risk‐neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross‐section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze the extent to which these returns relations represent compensation for risk and find evidence that, even after controlling for differences in co‐moments, individual securities’ skewness matters.