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Estimating expected excess returns using historical and option-implied volatility

Corrado, Charles Joseph; Miller, Thomas W. - 2005

Persistent link: https://www.econbiz.de/10003332149

Implied volatility skews and stock return skewness and kurtosis implied by stock option prices

Corrado, Charles Joseph - In: The European journal of finance 3 (1997) 1, pp. 73-85

Persistent link: https://www.econbiz.de/10001219143

An empirical test of the Hull-White option pricing model

Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378

Persistent link: https://www.econbiz.de/10001242646

Risk aversion, uncertain information, and market efficiency : reexamining the evidence

Corrado, Charles Joseph; Jordan, Bradford D. - In: Review of quantitative finance and accounting 8 (1997) 1, pp. 51-68

Persistent link: https://www.econbiz.de/10001590877

Cash Holdings and Bond Returns Around Takeovers

Podolski, Edward - 2016

Using a large sample of 2,712 unique U.S. domestic takeovers over the period 1993 to 2014, we show a negative relation between the level of cash holdings and post-announcement corporate bond returns. Our findings support the agency cost of cash holdings view and show that bondholders and...

Persistent link: https://www.econbiz.de/10013006488

Cash holdings and bond returns around takeovers

Podolski, Edward J.; Truong, Cameron; Veeraraghavan, Madhu - In: International review of financial analysis 46 (2016), pp. 1-11

Persistent link: https://www.econbiz.de/10011580828

When are extreme daily returns not lottery? : at earnings announcements!

Nguyen, Hung T.; Truong, Cameron - In: Journal of financial markets 41 (2018), pp. 92-116

Persistent link: https://www.econbiz.de/10012001791