Real-time forward-looking skewness over the business cycle

• Published in: Review of economic dynamics Vol. 54; p. 101233
• Main Author: Dew-Becker, Ian
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.10.2024

This paper measures option-implied skewness for individual firms and the S&P 500 index 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. Micr...