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Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns
Schürhoff, Norman; Ziegler, Alexandre - National Centre of Competence in Research - Financial … - 2011
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009486815
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Variance risk, financial intermediation, and thecross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009354100
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Valuing lead time
De Treville, Suzanne; Bicer, Isik; Chavez-Demoulin, Valérie - In: Journal of operations management 32 (2014) 6, pp. 337-346
Persistent link: https://www.econbiz.de/10010486501
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Optimal sourcing and lead-time reduction under evolutionary demand risk
De Treville, Suzanne; Schürhoff, Norman; Trigeorgis, Lenos - In: Production and operations management : an international … 23 (2014) 12, pp. 2103-2117
Persistent link: https://www.econbiz.de/10010479095
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Variance risk, financial intermediation, and the cross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - 2011
Persistent link: https://www.econbiz.de/10008909466