Chen T.-F.Chung S.-L.Tsai W.-C.2019-07-222019-07-2220160015198Xhttps://scholars.lib.ntu.edu.tw/handle/123456789/414486In our study, we take advantage of the forward-looking nature of information in option prices to estimate systematic equity risk while controlling for the effect of idiosyncratic skewness. Empirical results show a significantly positive relationship between the option-implied beta estimate and subsequent stock returns. A long-short portfolio based on our beta estimate earned an average monthly return of 0.96%. We also find that the option-implied beta predicts future realized betas and that the risk premium on the option-implied beta is positively associated with future market returns and contains information about future macroeconomic variables. ? 2016 CFA Institute. All rights reserved.journal article10.2469/faj.v72.n6.22-s2.0-84998996889https://www.scopus.com/inward/record.uri?eid=2-s2.0-84998996889&doi=10.2469%2ffaj.v72.n6.2&partnerID=40&md5=bdbf7fdaa42ccf771d2a101683fb3ec6