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This study examines the impacts of net buying pressure on implied volatility, and documents the fact that Bollen and Whaley (2004)'s net buying pressure hypothesis does not hold in the daily data of the KOSPI200 options market. In addition, using intraday data, we show that the net buying...
Persistent link: https://www.econbiz.de/10012736674
In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty explains the discrepancy between historical and implied volatilities in Goyal and Saretto (2009). In addition, we clarified the impact of the uncertainty on the stock market as...
Persistent link: https://www.econbiz.de/10012870769
We examine the effect of transaction costs on implied volatility structure, parameter estimation, and hedging. Using simulations, we document that: (1) Transaction costs can generate the volatility smile phenomena even in the Black-Scholes economy. Especially, volatility smile effect is very...
Persistent link: https://www.econbiz.de/10012727897
We estimate an ex ante probability of extreme negative returns (crashes) of individual stocks as a measure of potential overpricing and find that stocks with a high probability of crashes earn abnormally low returns. Stocks with high crash probability are overpriced regardless of the level of...
Persistent link: https://www.econbiz.de/10012931108
Duarte and Young (2009) decompose PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and...
Persistent link: https://www.econbiz.de/10012970044
Persistent link: https://www.econbiz.de/10015097641
We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a...
Persistent link: https://www.econbiz.de/10012708371
We develop a conditional version of the consumption CAPM using the conditioning variable derived from the cointegrated relationship among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict...
Persistent link: https://www.econbiz.de/10012708484
We develop a conditional version of the consumption CAPM using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market...
Persistent link: https://www.econbiz.de/10012718492
<section xml:id="fut21618-sec-0001"> This study proposes a new estimation approach for option valuation (an implied pricing kernel‐based approach), which estimates model parameters under the physical probability measure (P‐measure) using a pricing kernel implied by the GARCH option pricing model. Analyzing the dataset on the...</section>
Persistent link: https://www.econbiz.de/10011160967