• Skip to main content
  • Skip to footer

OptionMetrics

search
  • About Us
    • Who We Serve
    • Why OptionMetrics
    • Leadership
  • Data Products
    • Equities
      • United States
      • Europe
      • Asia
      • Canada
      • ETFs
    • Futures
    • Signed Volume
    • Implied Beta
    • Dividend
      • Implied Dividend
      • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact

J. Conrad, R.F. Dittmar, and E. Ghysels: Skewness and the Bubble

December 11, 2009

Motivated by the Internet bubble in the late 1990’s and early years of this century, we explore the possibility that higher moments of the returns distribution may be important in explaining security returns. Using a sample of option prices from 1996-2005, we estimate individual securities’ volatility, skewness and kurtosis using the method of Bakshi, Kapadia and Madan(2003). We find that higher moments are strongly related to returns, even after controlling for differences in size and book-to-market.

Download

Share this post:
  • Facebook
  • Pinterest
  • Twitter
  • Linkedin
OptionMetrics Logo
  • About Us
  • Who We Serve
  • Why OptionMetrics
  • Leadership
  • Data Products
  • Equities
  • Futures
  • Signed Volume
  • Implied Beta
  • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact Us
  • Support Request
Stay Connected

dashicons-linkedin dashicons-twitter dashicons-facebook-alt

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply

© 2025 OptionMetrics, LLC. All Rights Reserved. | Privacy Policy | Terms of Use | Accessibility | Site Map