Using OptionMetrics implied volatility surfaces for a sample of S&P 100 constituent stocks as of April 29, 2016, with historical data spanning from January 1996 to April 2016, this research provides additional empirical data regarding the informational content of option implied risk-neutral...

We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies with lower...

This study provides an in-depth analysis of how to estimate risk-neutral moments robustly. A simulation and an empirical study show that estimating risk- neutral moments presents a trade-off between (1) the bias of estimates caused by a limited strike price domain and (2) the variance of...