Similar Search Results

Do dividend initiations signal a reduction in risk? : evidence from the option market

Jones, Jeffrey S.; Gu, Jenny; Liu, Pu - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 143-158

Persistent link: https://www.econbiz.de/10010345141

The pricing of idiosyncratic risk : evidence from the implied volatility distribution

Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10009553644

A study on the prediction of realized volatility of KOSPI 200 index option : pre & post the global financial crisis

Choi, Won Cheol; Park, Sang Beom - In: International journal of economics and finance 6 (2014) 12, pp. 15-26

Persistent link: https://www.econbiz.de/10010460917

Implied volatility duration : a measure for the timing of uncertainty resolution

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Journal of financial economics 140 (2021) 1, pp. 127-144

Persistent link: https://www.econbiz.de/10013188678

Pricing Poseidon: extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2021

Persistent link: https://www.econbiz.de/10012807282

Implied volatility duration and the early resolution premium

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Essays in asset pricing, (pp. 1-77). 2018

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...

Persistent link: https://www.econbiz.de/10012665341