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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

Does risk-neutral skewness predict the cross section of equity option portfolio returns?

Bali, Turan G.; Murray, Scott - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1145-1171

Persistent link: https://www.econbiz.de/10010255208

Pricing eurodollar futures options using the BDT term structure model : the effect of yield curve smoothing

Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of futures markets 20 (2000) 3, pp. 293-306

Persistent link: https://www.econbiz.de/10001485244

Implementation of the BDT model with different volatility estimators : applications to Eurodollar futures options

Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of fixed income 8 (1999) 4, pp. 24-34

Persistent link: https://www.econbiz.de/10001432399

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Bali, Turan G. - 2019

We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex …

Persistent link: https://www.econbiz.de/10012905215

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

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

Analyst Price Target Expected Returns and Option Implied Risk

Bali, Turan G. - 2015

-ante view of a stock's risk and the stock's ex-ante expected return. We demonstrate that an ex-ante measure of expected returns … based on analyst price targets is highly related to the market's required rate of return. Using this measure, we show that …-ante expected returns. We then decompose the risk measures into systematic and unsystematic components and find that while expected …

Persistent link: https://www.econbiz.de/10013032028

In Search of a Factor Model for Optionable Stocks

Bali, Turan G. - 2020

We propose the first factor model that explains cross-sectional variation in optionable stock returns. Our model includes new factors based on option-implied volatility minus realized volatility, the call minus put implied volatility spread, and the difference between changes in call and put...

Persistent link: https://www.econbiz.de/10012846764

The Risk-Neutral Distribution of Option Returns

Bali, Turan G. - 2017

This is the first study on the risk-neutral distribution of option returns. We derive solutions for the risk … further out-of-the-money (in-the-money). The risk-neutral moments of call returns are increasing in the volatility of the … with put return moments. We find that the magnitudes of the risk-neutral and physical moments differ substantially …

Persistent link: https://www.econbiz.de/10012965141