Kozhan, Roman; Neuberger, Anthony; Schneider, Paul - In: Review of Financial Studies 26 (2013) 9, pp. 2174-2203
We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge...