Showing 1 - 10 of 409
structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option … volatility and jumps, which takes into account four types of risks, i.e., the systematic diffusion, the idiosyncratic diffusion …
Persistent link: https://www.econbiz.de/10012173091
The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting...
Persistent link: https://www.econbiz.de/10011855252
We examine the role of employee stock option plans (ESOPs) in mitigating agency problems in New Zealand firms. We find that ESOPs have a significant and positive effect on firm performance relative to their non-ESOP counterparts. This relation appears within a year from the first ESOP...
Persistent link: https://www.econbiz.de/10012417518
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
This article investigates whether, and how, CEO educational background affects Chinese corporate risk-taking. Using a sample of 4681 firm-year observations from 2012 to 2020, we find that CEO educational background is negatively associated with corporate risk-taking. The nonlinear quadratic...
Persistent link: https://www.econbiz.de/10014295554
Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...
Persistent link: https://www.econbiz.de/10012173992
The aim of this paper is the definition of a daily index representing the risk-return on investments in the American film industry. The index should be used to predict the riskiness and the expected return of movie projects at the level of the overall industry and then to determine a premium for...
Persistent link: https://www.econbiz.de/10012533659
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...
Persistent link: https://www.econbiz.de/10011961381
Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...
Persistent link: https://www.econbiz.de/10012022028