Abstract：The skewness risk premium is the skewness risk return which required by investors, and it is measured by the difference between expectation of realized skewness and risk-neutral skewness (implied skewness), which contains abundant information. By using the model-free method in Neuberger, this paper extracts the realized third moment and implied third moment in Taiwan option market through the technique calls variance swap and skewness swap contracts. Then according to the definition of Kozhan, et al, we get the realized skewness and implied skewness. Last, we extract the implied skewness risk premium, which is the difference between the realized skewness and implied skewness. We study the characteristics of the implied skewness risk premium, its information content, predictive power and influence factors. This paper finds that the implied skewness risk premium is significantly different from zero, and it is systematic risk, and it is related with the market risk factor, but it is a new explanatory factor differs from market risk factor. And the implied skewness risk premium contains the tail risk information, but it can not make a precise prediction on segmentation of tail risk. It is more influenced by investor sentiment:when the sentiment of investors is high, the required skewness risk premium is low, and vice versa.
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2016, Vol. 36 
