asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return … short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility … volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that …

the pricing kernel has strong implications for the impact of volatility on expected options returns. For example, we show … both theoretically and empirically that higher volatility can increase or decrease expected call option returns, depending …

different measures of the slope of the implied volatility smirk, we show that the slope of the calls' implied volatility smirk …' implied volatility smirk is driven by investors' expectations about a reversal in the economy. Overall, our results highlight …

-monotonically decreasing return pricing kernels and u-shaped volatility pricing kernels. Based on the non-parametric estimates, a parametric … option pricing model that matches the stylized facts in the return and volatility dimension is proposed. Moreover, it is …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical … institutions' net demand is the most informative about the underlying market volatility independent of the market reform, while …

. Second, we establish a quadratic relationship between OIA/RRA and volatility risk premium, consistent with theoretical …