LAUSR

Skewness Premium for Short‐Term Exposure to Squared Market Returns

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0 Published in 2025 at "Journal of Futures Markets"

DOI: 10.1002/fut.22615

Abstract: Following Kraus and Litzenberger, the skewness of stock returns is often modeled as exposure to the square of the market return. We use a trading strategy in S&P 500 options that creates exposure to the… read more here.

Keywords: exposure squared; skewness premium; market; exposure ... See more keywords