I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return … distribution but are derived under the risk-neutral probability measure. This paper provides a direct way of converting risk … high index levels and declines when the index falls. We confirm the view that investors with high risk aversion and …

We propose a non-structural method to retrieve the risk-neutral density (RND) impliedby options on the CBOE Volatility … options, we retrieve the variance swap term structure, the timeseries of VVIX, the VIX risk-neutral moments and the Volatility-at-Risk …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed … in previous literature, but very little is known about their properties and information content. This paper presents a …-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum … realized Sharpe, Sortino and information ratios increase when the sample covariance matrix estimator is replaced with its …

shows that the information on stock return autocorrelation helps investors to significantly improve the out …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …

discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … underlying stock return's distribution, can embed positive information regarding the underlying stock. A long-only portfolio of … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …