On the Nature of (Jump) Skewness Risk Premia
成果类型：
Article
署名作者：
Orlowski, Piotr; Schneider, Paul; Trojani, Fabio
署名单位：
Universite de Montreal; HEC Montreal; Universita della Svizzera Italiana; University of Turin; University of Geneva
刊物名称：
MANAGEMENT SCIENCE
ISSN/ISSBN：
0025-1909
DOI：
10.1287/mnsc.2023.4734
发表日期：
2024
关键词：
摘要：
Market skewness risk is priced, but the components of its premium are not fully understood. We propose new trading strategies decomposing the skewness risk premium into jump and leverage effect components, and we analyze the skewness risk premia in the market for S&P 500 index options. We find that the skewness premium is higher when markets are closed than during trading hours, consistently with uncertainty resolution patterns by non-U.S investors; that it increases after left-tail market events; and that it is distinct from the variance premium. Moreover, during trading hours, the skewness premium is dominated by priced jump risk.