Option-Implied Skewness and the Value of Financial Intermediaries
研究了美国金融中介机构的偏度、价值与股票收益的关系，发现期权隐含偏度比历史偏度解释力更强，且偏度越高预示估值越低、未来收益越高，其中金融科技公司关联最强。
Abstract In this paper, we analyze the relationship among skewness, value, and stock returns for US financial intermediaries. Further, we compare skewness based on past returns to risk-neutral skewness based on options. We find that the option-implied skewness has a significantly higher explanatory power. In line with the strand of literature on investors exploiting mispriced stocks through option trading, we find that a higher ex ante skewness indicates a low valuation that predicts higher returns. We investigate the relationship between skewness and value for each segment of intermediaries, and we show that the link is strongest for financial technology firms.