What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

Przemyslaw S. Stilger Alexandros Kostakis Ser-Huang Poon

Published in: Manag. Sci. (2017)

Keyphrases

risk neutral
stock returns
risk averse
stock market
risk aversion
developed countries
cross sectional
long term
financial time series
utility function
stock price
risk sensitive
markov decision processes
decision makers
developing countries
portfolio management