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Expected Correlation and Future Market Returns
Buss, Adrian - 2019
Implied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns. We document that its predictive power stems from its role as a leading procyclical state variable, predicting future investment opportunities, that is, financial-market risks...
Persistent link: https://www.econbiz.de/10012900103
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The Information Content of Option Prices Regarding Future Stock Return Serial Correlation
Murray, Scott - 2014
I investigate the relation between option prices and daily stock return serial correlation. I demonstrate that the variance ratio, calculated as the ratio of realized to implied stock return variance, has both a contemporaneous and predictive relation with stock return serial correlation. The...
Persistent link: https://www.econbiz.de/10013060179
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Can margin traders predict future stock returns in Japan?
Hirose, Takehide; Katō, Hideaki; Bremer, Marc - In: Pacific-Basin finance journal 17 (2009) 1, pp. 41-57
Persistent link: https://www.econbiz.de/10003800545
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Option Momentum
Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - 2022
This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. It finds that options with high historical returns continue to significantly outperform options with low historical returns over...
Persistent link: https://www.econbiz.de/10013406104
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Forward-Looking Information on Growth and Uncertainty Implied by Derivative Securities : Evidence from an Emerging Market
Yen, Yu-Min - 2019
In this paper, we investigate investors' expectations on economic growth and uncertainty risk implied by derivative … securities. Empirical evidence on investors' expectations implied by derivative securities has been intensively studied in the U …
Persistent link: https://www.econbiz.de/10012862166
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Impact of transaction taxes on commodity derivatives trading in India
Ray, Saon; Malik, Neha - 2014
market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …
Persistent link: https://www.econbiz.de/10010354169
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Monetary policy surprises, positions of traders, and changes in commodity futures prices
Gospodinov, Nikolaj; Jamali, Ibrahim - 2013
tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices …
Persistent link: https://www.econbiz.de/10010201348
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Hedging Benefits of Gold Futures : A Regime Switching Model Approach
Ashraf, Ali - 2017
Using a regime switching model, this study analyzes the nature of gold hedging benefits from the perspective of an … individual investor who may choose to invest in a portfolio of: a) Index Futures, b) T-note Futures, c) Oil Futures and d) Gold … Futures. Empirical findings support the argument that two distinctive identifiable regimes of gold futures returns exist: 1) a …
Persistent link: https://www.econbiz.de/10012959679
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News Sentiment in the Gold Futures Market
Smales, Lee A. - 2014
relationship between news sentiment and returns in the gold futures market over the period 2003-2012. There is an asymmetric … response to news releases with negative news sentiment invoking a greater contemporaneous response in returns of gold futures …
Persistent link: https://www.econbiz.de/10013063264
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Fixing the fix for silver and gold
Crain, Susan J.; Hoelscher, Seth A.; Jones, Jeffrey S. - In: ACRN journal of finance and risk perspectives 9 (2020) 1, pp. 177-197
Accusations of price manipulation in the silver and gold markets have emerged in recent years. In an effort to increase … volatilities and prices within the silver and gold markets which could be an indicator of manipulation prior to the change. …
Persistent link: https://www.econbiz.de/10012321144