Skewness Premium for Short‐Term Exposure to Squared Market Returns
利用标普500期权交易策略分离出市场收益平方的暴露，发现日度偏度溢价显著为负，年化收益差达5个百分点，且短期暴露对投资者重要。
ABSTRACT Following Kraus and Litzenberger, the skewness of stock returns is often modeled as exposure to the square of the market return. We use a trading strategy in S&P 500 options that creates exposure to the square of the S&P 500 return without affecting other characteristics of a direct index investment. This allows us to uniquely identify the skewness premium. We find a significantly negative premium on daily returns, which amounts to a return difference of 5 percentage points per year between a put‐based strategy (negative skewness) and a call‐based strategy (positive skewness). Our results suggest that short‐term exposure to squared market returns is important for investors, even though this exposure declines sharply when returns are aggregated over months or quarters.