| . |
Murray, Scott's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
829 |
Total
Citations
5 |
|
|
|
|
|
1.
|
|
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Murray, Scott
University of Nebraska - Lincoln
|
|
Posted:
|
|
22 Mar 10
|
|
Last Revised:
|
|
05 May 12
|
|
599
(20,012)
|
5
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Murray, Scott
University of Nebraska - Lincoln
|
| Posted: |
|
30 Jan 12
|
|
Last Revised:
|
|
25 Apr 12
|
|
159
|
5
|
|
| |
|
| |
Cross-Section of Expected Returns, Risk-Neutral Skewness
|
|
|
|
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Murray, Scott
University of Nebraska - Lincoln
|
| Posted: |
|
22 Mar 10
|
|
Last Revised:
|
|
05 May 12
|
|
440
|
5
|
|
| |
|
| |
Cross-Section of Expected Returns, Risk-Neutral Skewness
|
|
|
|
|
|
2.
|
|
|
Murray, Scott
University of Nebraska - Lincoln
|
| Posted: |
|
17 Jun 11
|
|
Last Revised:
|
|
12 Mar 13
|
|
123
(115,817)
|
|
|
| |
|
| |
Margin Requirements, Short Option Returns, Volatility Risk Premium
|
|
|
3.
|
|
|
Bali, Turan G.
Georgetown University - Robert Emmett McDonough School of Business Murray, Scott
University of Nebraska - Lincoln
|
| Posted: |
|
14 Nov 12
|
|
Last Revised:
|
|
19 Apr 13
|
|
107
(128,985)
|
|
|
| |
|
| |
Expected Stock Returns, Price Targets, Systematic Risk, Idiosyncratic Risk, Co-Skewness
|
|
