The Pricing of Skewness Over Different Return Horizons

Author:

Aretz Kevin,Eser Arisoy Y.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference56 articles.

1. Does realized skewness predict the cross-section of equity returns?;Amaya;Journal of Financial Economics,2015

2. An empirical investigation of continuous-time equity return models;Andersen;The Journal of Finance,2002

3. Stock return characteristics, skew laws, and the differential pricing of individual equity options;Bakshi;Review of Financial Studies,2003

4. Maxing out: Stocks as lotteries and the cross-section of expected returns;Bali;Journal of Financial Economics,2011

5. Empirical asset pricing: The cross-section of stock returns;Bali;Wiley, New Jersey,2016

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