In this article, we use volatility surface data from options contracts to document a strong, robust, and positive cross-sectional relation between risk-neutral skewness (RNS) and subsequent stock returns. The differential return between high- and low-RNS stocks amounts to 0.17% per week. Preannouncement RNS is positively related to earnings announcement returns, and the positive RNS–return relation is more pronounced for other nonscheduled news releases. This suggests that it is informed trading that drives the positive relation between RNS and subsequent stock returns. We also find that RNS contains incremental information beyond trading signals captured by option-implied volatility and volume.

中文翻译：

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风险中性偏度、知情交易和股票收益横截面

在本文中，我们使用期权合约的波动率表面数据来记录风险中性偏度 (RNS) 与后续股票收益之间的强大、稳健和正的横截面关系。高 RNS 股票和低 RNS 股票之间的收益率差为每周 0.17%。公告前 RNS 与收益公告回报呈正相关，而 RNS-回报的正相关关系在其他非预定新闻发布中更为明显。这表明，知情交易推动了 RNS 与后续股票收益之间的正相关关系。我们还发现，RNS 包含的增量信息超出了期权隐含波动率和交易量捕获的交易信号。