We propose a model-free method for measuring the jump skewness risk premium via a tradingstrategy. We find that in the … increase in periods of market distress. The daytime return on jump skewness isnot spanned by other systematic risk factors …, suggesting it is a systematic risk factor itself. Outsideof trading hours, skewness risk does not seem to be distinguishable from …

models. It utilizes a novel conditional frequency analysis on the basis of available options rather than the times series of …

compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual … coskewness, which allows us to construct coskewness factor mimicking portfolios. Controlling for skewness renders the alphas of … are largely driven by a single principal component, which is in turn largely explained by skewness …