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Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns
Bali, Turan G. - 2019
-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …
Persistent link: https://www.econbiz.de/10012905215
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G. - 2012
exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …
Persistent link: https://www.econbiz.de/10013111682
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G. - 2013
exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …
Persistent link: https://www.econbiz.de/10013094978
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Option return predictability with machine learning and big data
Bali, Turan G.; Beckmeyer, Heiner; Mörke, Mathis; … - 2021 - This version: August 20, 2021
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. Besides statistical significance, the...
Persistent link: https://www.econbiz.de/10012620725
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Option Return Predictability with Machine Learning and Big Data
Bali, Turan G.; Beckmeyer, Heiner; Moerke, Mathis; … - 2021
We investigate the cross-sectional return predictability of delta-hedged equity options using machine learning and big data. Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample...
Persistent link: https://www.econbiz.de/10013215503
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In Search of a Factor Model for Optionable Stocks
Bali, Turan G. - 2020
includes new factors based on option-implied volatility minus realized volatility, the call minus put implied volatility spread …
Persistent link: https://www.econbiz.de/10012846764
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A New Look at Hedging with Derivatives : Will Firms Reduce Market Risk Exposure?
Bali, Turan G.; Hume, Susan; Martell, Terrence F. - 2012
This paper examines derivatives use of foreign exchange, interest rate and commodities risk by non-financial firms across multiple industries, using data from 1995 to 2001. This paper considers the interaction of a firm's risk exposures, derivatives use, and real operations simultaneously, and...
Persistent link: https://www.econbiz.de/10014026732
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Hedge funds and the positive idiosyncratic volatility effect
Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …
Persistent link: https://www.econbiz.de/10012416051
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Have hedge funds solved the idiosyncratic volatility puzzle?
Bali, Turan G.; Weigert, Florian - 2018
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …
Persistent link: https://www.econbiz.de/10011993511
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Implied volatility spreads and expected market returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 87-101
Persistent link: https://www.econbiz.de/10011389785