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Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
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Generalized bounds on the conditional expected excess return on individual stocks
Chabi-Yo, Fousseni; Dim, Chukwuma Chijioke; Vilkov, Grigory - In: Management science : journal of the Institute for … 69 (2023) 2, pp. 922-939
Persistent link: https://www.econbiz.de/10014295173
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Investor attention and option returns
Choy, Siu Kai; Wei, Jason - In: Management science : journal of the Institute for … 69 (2023) 8, pp. 4845-4863
Persistent link: https://www.econbiz.de/10014339468
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Empirical pricing kernels obtained from the UK index options market
Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993
Persistent link: https://www.econbiz.de/10003886597
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Information content of aggregate implied volatility spread
Han, Bing; Li, Gang - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1249-1269
Persistent link: https://www.econbiz.de/10012505469
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On the nature of (jump) skewness risk premia
Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
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Default risk and option returns
Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
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Firm-specific stock return variation and capital structure decisions
Chan, Chia-chung; Zhang, Yonghe - In: Applied economics letters 15 (2008) 4/6, pp. 293-299
Persistent link: https://www.econbiz.de/10003727256
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Momentum profits and macroeconomic factors
Chelley-Steeley, Patricia L.; Siganos, Antonios - In: Applied economics letters 11 (2004) 7, pp. 433-436
Persistent link: https://www.econbiz.de/10002111189