There is strong evidence of a negative cross-sectional relationship between realized skewness and future stock returns - stocks with negative skewness are compensated with high future returns for ...
Over the long run, 55% of US stocks underperformed US Treasury Bill returns, meaning that more than half of individual stocks did worse than the safest government-backed investments. While traditional ...
Volatility futures were trading in “backwardation” in the third week of November. That is, longer-term volatility futures expiring in January and February were trading at lower values than the cash ...
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