Real-Time Forward-Looking Skewness over the Business Cycle
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This paper measures option-implied skewness for individual firms and the overall stock market between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2.
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美国国家经济研究局创建时间：
2022-09-01
