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Dividend Dynamics, Learning, and Expected Stock Index Returns
Jagannathan, Ravi - 2015
We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample,...
Persistent link: https://www.econbiz.de/10013015544
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Mispricing of S&P 500 Index Options
Constantinides, George M. - 2010
Widespread violations of stochastic dominance by one-month Samp;P 500 index call options over 1986-2006 imply that a trader can improve expected utility by engaging in a zero-net-cost trade net of transaction costs and bid-ask spread. Although pre-crash option prices conform to the...
Persistent link: https://www.econbiz.de/10012758035
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Mispriced Index Option Portfolios
Constantinides, George M.; Czerwonko, Michal; Perrakis, … - 2021
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...
Persistent link: https://www.econbiz.de/10013233758
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Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S&P 500 Options
Santa-Clara, Pedro - 2005
We use a novel pricing model to filter times series of diffusive volatility and jump intensity from Samp;P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …
Persistent link: https://www.econbiz.de/10012785090
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Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
Engle, Robert F. - 2010
In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....
Persistent link: https://www.econbiz.de/10012763182
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A Multiple Indicators Model for Volatility Using Intra-Daily Data
Gallo, Giampiero M.; Engle, Robert F. - 2021
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases …, the quality of forecasts should improve. Yet, there is no consensus about a true' or best' measure of volatility. In this … paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to develop a …
Persistent link: https://www.econbiz.de/10013246085
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10013082768
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Transmission of Volatility between Stock Markets
King, Mervyn - 2008
with volatility …
Persistent link: https://www.econbiz.de/10012774536
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Policy News and Stock Market Volatility
Baker, Scott R. - 2019
We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …
Persistent link: https://www.econbiz.de/10012889473
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An Improved Method to Predict Assignment of Stocks into Russell Indexes
Ben-David, Itzhak - 2019
A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...
Persistent link: https://www.econbiz.de/10012861213