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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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Beta risk in the cross-section of equities
Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These …
Persistent link: https://www.econbiz.de/10014372444
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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
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Whose sentiment explains implied volatility change and smile?
Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Finance research letters 55 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014473013
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Belief heterogeneity in the option markets and the cross-section of stock returns
Borochin, Paul; Zhao, Yanhui - In: Journal of banking & finance 107 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012224402
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An option theoretic approach to market efficiency
Bhattacharya, Rajeev R. - In: Annals of financial economics 14 (2019) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10012226607
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Macroeconomic information and implied volatility: evidence from Australian index options
Tanha, Hassan; Dempsey, Michael; Hallahan, Terrence - In: Review of Behavioral Finance 6 (2014) September, pp. 46-62
options to examine the response of option IV, as well as higher moments of the underlying return distribution, to … macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the … options. Findings –The findings suggest that in-the-money and out-of-the money options have difference characteristics in …
Persistent link: https://www.econbiz.de/10010895044
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Macroeconomic information and implied volatility: evidence from Australian index options
Tanha, Hassan; Dempsey, Michael; Hallahan, Terrence - In: Review of Behavioral Finance 6 (2014) 1, pp. 46-62
index options to examine the response of option IV, as well as higher moments of the underlying return distribution, to … macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the … options. Findings – The findings suggest that in-the-money and out-of-the money options have difference characteristics in …
Persistent link: https://www.econbiz.de/10014990032
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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722