We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option … based factors from the long-short option portfolios based on firm size, idiosyncratic volatility, and the difference between …

followed by long-run reversal. Significant returns remain after factor risk adjustment and after controlling for implied … volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

The recent literature provides conflicting empirical evidence on the pricing of idiosyncratic risk. This paper sheds … new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of … the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity …

liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … volatility. Our results hold for different measures of volatility such as implied volatility, EGARCH volatility from daily …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …