BOYER, BRIAN H.; VORKINK, KEITH - In: Journal of Finance 69 (2014) 4, pp. 1485-1527
type="main" <title type="main">ABSTRACT</title> <p>We investigate the relationship between ex ante total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, in contrast to the traditional view that only...</p>