Narrow search
Showing 1 - 2 of 2
Cover Image
Pricing event risk : evidence from concave implied volatility curves
Alexiou, Lykourgos; Goyal, Amit; Kostakis, Alexandros; … - 2021
We document that implied volatility (IV) curves extracted from short-term equity options frequently become concave …. Firms with concave IV curves exhibit significantly higher absolute stock returns on EAD and higher realized volatility after …
Persistent link: https://www.econbiz.de/10012612931
Cover Image
On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062