We examine how the notional value of futures contracts predicts the cross-section of returns within the major asset classes tracking a large number of futures contracts. We find that low notional value contracts outperform high notional value contracts within government bonds, short-term rates,...

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

We derive a model-free expression of the serial dependence coefficients of the stock market returnin terms of the prices of available index options, VIX futures, and VIX options. As a result,we obtain real-time market autocorrelation and regression coefficients between market returnsover two...

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...

This study presents a model for estimating the asymmetry of the futures price with respect to the futures bid-ask spread. Using data from the Swedish OMXS 30 index futures market, estimation results show clear evidence of futures price asymmetry, where the futures price in general tends to be...