Chang, Bo Young; Christoffersen, Peter; Jacobs, Kris - In: Journal of Financial Economics 107 (2013) 1, pp. 46-68
The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high...