Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...