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Moment risk premia and stock return predictability
Fan, Zhenzhen; Xiao, Xiao; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 67-93
Persistent link: https://www.econbiz.de/10012805776
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Good volatility, bad volatility, and option pricing
Feunou, Bruno; Okou, Cédric - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 2, pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
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Event-related exchange-rate forecasts combining information from betting quotes and option prices
Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2663-2683
Persistent link: https://www.econbiz.de/10012128877
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Does risk-neutral skewness predict the cross section of equity option portfolio returns?
Bali, Turan G.; Murray, Scott - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1145-1171
Persistent link: https://www.econbiz.de/10010255208
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Informed trading in the stock market and option-price discovery
Collin-Dufresne, Pierre; Fos, Vyacheslav; Muravyev, Dmitry - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 6, pp. 1945-1984
Persistent link: https://www.econbiz.de/10012618498
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Volatility and expected option returns
Hu, Guanglian; Jacobs, Kris - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 3, pp. 1025-1060
Persistent link: https://www.econbiz.de/10012195631
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Dividend yields, dividend growth, and return predictability in the cross section of stocks
Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 1/2, pp. 33-60
Persistent link: https://www.econbiz.de/10011348008
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Predictable dynamics in higher-order risk-neutral moments : evidence from the S&P 500 options
Neumann, Michael; Skiadopoulos, George - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 3, pp. 947-977
Persistent link: https://www.econbiz.de/10010201777
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
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Stock price jumps and cross-sectional return predictability
Jiang, George J.; Yao, Tong - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1519-1544
Persistent link: https://www.econbiz.de/10010343638