Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2022 erstellt
Beschreibung:
We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of quantile estimates relative to existing approaches. We use the method to estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk-neutral skewness measures, we find that RNA is significantly negatively linked to future market excess returns at horizons ranging from one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market returns