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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts …

Persistent link: https://www.econbiz.de/10010226098

Commodities, financialization, and heterogeneous agents

Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 28, 2016

The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...

Persistent link: https://www.econbiz.de/10011539849

Commodities, financialization, and heterogeneous agents

Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 5, 2016

The term `financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...

Persistent link: https://www.econbiz.de/10011448180

Volatility-of-volatility risk

Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018

time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility …-of-volatility measures, identified modelfree from the option price data as the VIX and VVIX indices, respectively, are only weakly related to … each other. Delta-hedged index and VIX option returns are negative on average, and are more negative for strategies which …

Persistent link: https://www.econbiz.de/10011849232

Liquidity derivatives

Bagnara, Matteo; Jappelli, Ruggero - 2022

. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to …

Persistent link: https://www.econbiz.de/10013491550

Liquidity derivatives

Bagnara, Matteo; Jappelli, Ruggero - 2022

. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to …

Persistent link: https://www.econbiz.de/10013365214

Price and liquidity discovery in European sovereign bonds and futures

Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...

Persistent link: https://www.econbiz.de/10013194146

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

Mental models of the stock market

Andre, Peter; Schirmer, Philipp; Wohlfart, Johannes - 2023

Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...

Persistent link: https://www.econbiz.de/10014416010

The economic impact of ESG ratings

Berg, Florian; Heeb, Florian; Kölbel, Julian - 2024

This study examines the impact of ESG ratings on fund holdings, stock returns, and firm behavior. First, we show that among five major ESG ratings, only MSCI ESG can explain the holdings of US funds with an ESG mandate. We document that downgrades in the MSCI ESG rating substantially reduce...

Persistent link: https://www.econbiz.de/10015154584