Concepedia

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Turan G. Bali, Scott Murray

SSRN Electronic Journal · 2012 · 102 citations · 13 references

DOIFull text

Open access

Concepts

References

13

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

, , +12

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

, , +10

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

, , +17

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

, , +14

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 3.1K citations

, , +17