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Stock Illiquidity, option prices, and option returns
Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016 - Current version: July 2016
translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation …
Persistent link: https://www.econbiz.de/10011539242
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Optimal Carry and Momentum Returns in Futures Markets : A Compensation for Capital Constrained Hedge Funds?
Ahmerkamp, Jan Danilo - 2013
and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … that the predictability of expected returns in futures markets reflects the scarcity of speculative capital and is …
Persistent link: https://www.econbiz.de/10013085038
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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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Option Pricing in an Investment Risk-Return Setting
Kim, Young Shin - 2019
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...
Persistent link: https://www.econbiz.de/10012865720
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The Policy Risk Premium in Equity Derivatives
Vecchio, Giovanni Gabriele - 2019
This paper introduces a model that allows to measure the impact of policy risk on the dynamics of the S&P 500 index using option data. I quantify the impact of policy risk on the whole P-distribution of assets, not just on volatility, as most literature on policy risk does. I document that this...
Persistent link: https://www.econbiz.de/10012871392
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Liquidity Effects and FFA Returns in the International Shipping Derivatives Market
Alizadeh, Amir H. - 2015
modeling freight derivatives, and consequently, for trading and risk management purposes …
Persistent link: https://www.econbiz.de/10013018063
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Option volume and stock returns : evidence from single stock options on the Korea Exchange
Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 280-300
' behavior in the options market. In this study, we examine whether the trading volume ratios of single stock options have the … announcement of performance" of 36 underlying stocks on the Korea Exchange from November 2014 to March 2021 and the trading volume …
Persistent link: https://www.econbiz.de/10012658766
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The law of one price in equity volatility markets
Van Tassel, Peter - 2020
stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market …
Persistent link: https://www.econbiz.de/10012391498
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Futures Market Approach to Understanding Equity Premium Puzzle
Kim, Bryce - 2016
essentially trading labor with future goods, it is inevitable that risk-free bonds have lower interest rate than ideal risk …
Persistent link: https://www.econbiz.de/10012996101
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Show Me the Money : Option Moneyness Concentration and Future Stock Returns
Bergsma, Kelley - 2020
. Thus, trading activity by option moneyness should be a gauge of informed option trading. We construct a dollar volume …-weighted average moneyness measure to capture option trading activity at different moneyness levels. Stock returns increase with this … measure, suggesting more trading activity in options with higher leverage predicts future stock returns. Our results hold …
Persistent link: https://www.econbiz.de/10012845645