Showing 1 - 10 of 27,100
industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium. This methodology … correlation risk premium to monitor uncertainty and returns in the banking sector and foresee periods of stress in this industry …, volatility, and risk. …
Persistent link: https://www.econbiz.de/10012616875
has lower persistence than non-announcement-day volume. No statistically significant risk premium manifests on the release …
Persistent link: https://www.econbiz.de/10010536375
Persistent link: https://www.econbiz.de/10013532426
Persistent link: https://www.econbiz.de/10014391957
The risk-neutral distribution of returns, implied by S&P 500 option prices, has been a popular topic of research for … many years. Because of its forward-looking nature, it gives valuable insights into the expectation and risk attitude of …
Persistent link: https://www.econbiz.de/10010510195
Persistent link: https://www.econbiz.de/10011867341
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...
Persistent link: https://www.econbiz.de/10012157194
Persistent link: https://www.econbiz.de/10012102573
Persistent link: https://www.econbiz.de/10012592490
Persistent link: https://www.econbiz.de/10012793105