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High Return, High Risk - Does Stock Option Based CEO Compensation Encourage Risk Taking
Xia, Harry - 2015
This study, through empirical evidence of 3,081 US firms during the period of 1992-2009, shows a strong causal relation between different CEO compensation components and firms' investment policy and firm risk. Specifically, the proportion of CEO option-based compensation is positively and...
Persistent link: https://www.econbiz.de/10013013529
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Executive stock options when managers are loss averse
Dittmann, Ingolf - 2007
Persistent link: https://www.econbiz.de/10013443328
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Investor expectations of volatility increases around large stock splits as implied in call option premia
Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10003602801
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Common Factors in Equity Option Returns
Horenstein, Alex R. - 2020
implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option …This paper studies the factor structure of the cross-section of delta-hedged equity option returns. We find that a four … based factors from the long-short option portfolios based on firm size, idiosyncratic volatility, and the difference between …
Persistent link: https://www.econbiz.de/10012850798
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Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities
Herzel, Stefano - 2018
We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the...
Persistent link: https://www.econbiz.de/10012930916
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Assessing models of individual equity option prices
Bakshi, Gurdip S.; Cao, Charles Q.; Zhong, Zhaodong - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012549885
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Option Momentum
Heston, Steven L.; Li, Shuaiqi - 2021
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...
Persistent link: https://www.econbiz.de/10013249009
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Variation in option implied volatility spread and future stock returns
DeLisle, R. Jared; Diavatopoulos, Dean; Fodor, Andy; … - In: The quarterly review of economics and finance : journal … 83 (2022), pp. 152-160
Persistent link: https://www.econbiz.de/10013258547
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Tackling investment risks using equity options during extreme economic upheavals : Indian evidence
Jose, Babu; Varghese, James - In: Colombo business journal : international journal of … 12 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012807616
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The Cross-Section of Individual Equity Option Returns
Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2022
their underlying stocks that provide incremental information for the cross-sectional variation of expected delta …
Persistent link: https://www.econbiz.de/10013322614