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Learning and Forecasts about Option Returns through the Volatility Risk Premium
Bernales, Alejandro - 2019
probability measures P and Q, which produces predictability patterns from the VRP for option returns. The forecasting features of …
Persistent link: https://www.econbiz.de/10012892623
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X.; Strasser, Georg H. - 2008
We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...
Persistent link: https://www.econbiz.de/10003831222
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Sources of return in the index futures markets
Zaremba, Adam - In: Contemporary economics 5 (2011) 2, pp. 54-71
The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...
Persistent link: https://www.econbiz.de/10009244093
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Sources of Return in the Index Futures Markets
Zaremba, Adam - 2012
The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...
Persistent link: https://www.econbiz.de/10013098970
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Does the Stock Market Expect Upcoming Merger Activity?
Saidiev, Ulugbek - 2014
The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing
Persistent link: https://www.econbiz.de/10013065679
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Using Option Implied Volatilities to Predict Absolute Stock Returns - Evidence from Earnings Announcements and Annual Shareholders’ Meetings
Govindaraj, Suresh - 2014
We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcements and annual meetings of shareholders, even after controlling for the realized stock return volatility shortly before these information...
Persistent link: https://www.econbiz.de/10013046741
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Asset co-movements : features and challenges
Gospodinov, Nikolaj - 2017
This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We...
Persistent link: https://www.econbiz.de/10011771615
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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 volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This...
Persistent link: https://www.econbiz.de/10011897782
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Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility
Forte, Santiago - 2020
We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility. The informational content of historical and option...
Persistent link: https://www.econbiz.de/10012848868
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Modifications on book-valued ratios
Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37
forecasting performance on returns, dividend and earnings growth. Findings: In-sample evidence suggests that an investor who … so as to solve the earnings puzzle in terms of forecasting along with the necessity to understand the economical sources … focused on portfolio allocation and asset pricing and scholars interested in return forecasting, capital budgeting and risk …
Persistent link: https://www.econbiz.de/10014281276