Kurtosis – BSIC | Bocconi Students Investment Club

Straddling outside and into earnings

Download PDF Introduction An ATM equity long straddle position is delta neutral. If systematic risk is the only factor predicting expected returns, a delta neutral strategy should have an expected return equal to the risk-free rate. In this article we will review academic literature suggesting that not only is this Read more…

By BSIC, 4 years3 October 2021 ago

When Sigma Speaks Loudly, Do Higher Moments Speak Louder? – Part 1

Introduction In this article, together with a brief introduction to the use of option-implied information in forecasting, we would like to give an answer to the question: does Option-Implied Skewness and Kurtosis improve the predictive power of (Squared) Implied Volatilities on Future Realised Variance? In order to do so, we Read more…

By BSIC, 5 years16 February 2020 ago