Risk-neutral higher moments seem to

Risk-neutral higher moments seem to be related to stock re-turns. For skewness, Xing et al. (2010) and Stilger et al. (2017) document a positive relation, while Conrad et al. (2013) find a negative impact of option-implied skewness on future stock returns.Bali and Murray (2013) find a negative impact of option-impliedskewness on future option returns. Borochin et al. (2018) document the differential pricing of short-term and long-term option-implied skewness in the cross-section of stock returns. For kurtosis, Conrad et al. (2013) report that risk-neutral kurtosis and stockreturns are positively related. Amaya et al. (2015) investigate theasset pricing implications of realized moments and show that re-alized skewness is negatively priced while realized kurtosis doesnot seem to be priced. As opposed to these studies, we do not examine the effect of the level of higher moments but test whetherthe joint persistence of the option-implied central moments affectsfuture asset returns.The remainder of this paper is organized as follows.Section 2 describes our data set and the estimation methodology. In Section 3, we test whether the joint persistence of the22 F. Hollstein, D.B.B. Nguyen and M. Prokopczuk / Journal of Banking and Finance 105 (2019) 20–35option implied distribution’s central moments is priced in thecross-section of stock returns. Section 4 analyzes the persistenceof individual moments. Section 5 presents various additionalanalyses and robustness tests. Section 6 concludes.

結果 (繁體中文) 1:

Risk-neutral higher moments seem to be related to stock re-
turns. For skewness, Xing et al. (2010) and Stilger et al. (2017) document a positive relation, while Conrad et al. (2013) find a negative impact of option-implied skewness on future stock returns.

Bali and Murray (2013) find a negative impact of option-implied

skewness on future option returns. Borochin et al. (2018) document the differential pricing of short-term and long-term option-implied skewness in the cross-section of stock returns. For kurtosis, Conrad et al. (2013) report that risk-neutral kurtosis and stock

returns are positively related. Amaya et al. (2015) investigate the

asset pricing implications of realized moments and show that re-
alized skewness is negatively priced while realized kurtosis does

not seem to be priced. As opposed to these studies, we do not examine the effect of the level of higher moments but test whether

the joint persistence of the option-implied central moments affects
future asset returns.
The remainder of this paper is organized as follows.

Section 2 describes our data set and the estimation methodology. In Section 3, we test whether the joint persistence of the

22 F. Hollstein, D.B.B. Nguyen and M. Prokopczuk / Journal of Banking and Finance 105 (2019) 20–35
option implied distribution’s central moments is priced in the
cross-section of stock returns. Section 4 analyzes the persistence
個別時刻。第5節禮物各種附加
的分析和魯棒性測試。第六部分是結論。

結果 (繁體中文) 2:

風險中性的較高時刻似乎與股票再
轉。對於偏斜性，Xing等人（2010年）和Stilger等人（2017年）記錄了正關係，而康拉德等人（2013年）則發現期權隱含偏斜對未來股票回報的負面影響。

巴厘島和默里（2013年）發現期權隱含的負面影響

未來期權返回的偏差。Borochin等人（2018年）記錄了股票回報橫截面的短期和長期期權隱含偏斜的差別定價。對於峰度病，Conrad 等人（2013 年）報告，風險中性峰度和股票

回報是正相關。Amaya等人（2015年）調查

資產定價對已實現時刻的影響，並表明
alalized 偏斜率是負價的，而實現峰度

似乎沒有定價。與這些研究相反，我們不檢查較高時刻水準的影響，而是測試是否

選項隱含的中心時刻的聯合持久性影響
未來資產回報。
本文的其餘部分按如下方式組織。

第 2 節介紹了我們的資料集和估計方法。在第 3 節中，我們測試

22 F. 霍爾斯坦， D.B.B. Nguyen 和 M. Prokopczuk / 銀行和金融雜誌 105 （2019） 20-35
期權隱含分佈的中心時刻定價在
股票回報的橫截面。第 4 節分析持久性
個別的時刻。第 5 節提供了各種附加
分析和魯棒性測試。第6節結束。

結果 (繁體中文) 3:

風險中性高階矩似乎與股票收益率有關-
轉動。對於偏度，Xing等人。（2010）和Stilger等人。（2017）記錄了一個積極的關係，而Conrad等人。（2013）發現期權隱含偏斜對未來股票收益的負面影響。
Bali和Murray（2013）發現隱含期權的負面影響
未來期權收益的偏態性。Borochin等人。（2018）記錄股票收益橫截面中短期和長期期權隱含偏斜的差异定價。對於峭度，康拉德等人。（2013）報告風險中性峰度和股票
回報率正相關。Amaya等人。（2015）調查
已實現時刻的資產定價影響，並表明-
化態偏度是負的，而實現峰度是負的
似乎沒有定價。與這些研究相反，我們不研究高階矩水准的影響，而是測試
期權隱含中心矩的聯合持續性影響
未來資產回報。
本文的其餘部分安排如下。
第2節描述了我們的數据集和估計方法。在第3節中，我們測試
22 F.Hollstein，D.B.B.Nguyen和M.Prokopczuk/銀行與金融雜誌105（2019）20–35
期權隱含分佈的中心矩定價為
股票收益的橫截面。第4節分析持久性
個人時刻。第5節提出了各種附加條款
分析和穩健性測試。第6節結束。