Hao Chang

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

1 Washington Park

Newark, NJ 07102

United States

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The Information Content of the Term Structure of Risk-Neutral Skewness

Number of pages: 54 Posted: 20 May 2017 Last Revised: 21 Sep 2018
Paul Borochin, Hao Chang and Yangru Wu
University of Miami - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers University, Newark - School of Business - Department of Finance & Economics
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Abstract:

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Risk-Neutral Skewness, Term Structure, Return Predictability, Hedging Demand, Informed Trading, Skewness Preference