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Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

Persistent link: https://www.econbiz.de/10011897782

The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices

Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213

Persistent link: https://www.econbiz.de/10014490945

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977

A Model of Momentum

Liu, Laura Xiaolei - 2011

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

Persistent link: https://www.econbiz.de/10013132883

A Model of Momentum

Liu, Laura Xiaolei - 2012

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment … volume, stock return volatility, credit ratings, and book-to-market. However, the model fails to reproduce procyclical …

Persistent link: https://www.econbiz.de/10013115136

Forecasting Nigerian stock market returns using ARIMA and artificial neural network models

Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48

The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The...

Persistent link: https://www.econbiz.de/10011488820

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...

Persistent link: https://www.econbiz.de/10013220323

Volatility-of-Volatility Risk in Asset Pricing

Chen, Te-Feng; Chordia, Tarun; Chung, San-Lin; Lin, Ji-chai - 2021

volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on VOV …This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility … (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market …

Persistent link: https://www.econbiz.de/10013244837

Option-Implied Information and Predictability of Extreme Returns

Vilkov, Grigory - 2012

market index. The tail loss measure is motivated by the results of the extreme value theory, and it is computed from observed …

Persistent link: https://www.econbiz.de/10013100653

Commodity Return Predictability : Evidence from Implied Variance, Skewness and their Risk Premia

Finta, Marinela Adriana - 2019

This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities' future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the...

Persistent link: https://www.econbiz.de/10012899872