This paper examines how the investors' expectations of the stock market evolve over the ten-year period between 1999 to 2008. In the past decade, the U.S. stock market experienced two major crises, with a relatively steady growth period in between. Using options implied risk neutral...

This study examines the performance and risk of indexes for US and European stocks which account for non-financial “beliefs”, namely the ESG (Environmental, social and corporate governance) indexes, Islamic indexes, and Christian indexes. To explore if such beliefs matter for investment...

This paper is a comparison study of non-parametric techniques used to estimate risk neutral densities from option prices. Cross sectional option prices are first generated using Monte Carlo simulation. Using these simulated options data, risk neutral densities of the underlying asset are...

Recent studies find that a long position in at-the-money straddles consistently yields losses. This is interpreted as evidence for the non-redundancy of options and as a risk premium for volatility risk. This article analyzes this risk premium in more detail by 1) assessing the return properties...