The COVID-19 risk in the cross-section of equity options.

Financ Res Lett · 2023 · PMC9908572 · PMID 36785797

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highly significantno p-value reported

After controlling for market beta, COSKEW, and today's SLOPE, we find that the CS portfolios remain positive and highly significant for both the full and sub-sample periods except for the pre-lockdown period, which is consistent with our result in single-sorted analysis.

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