Showing 1 - 10 of 4,791
explore the difference between option-implied and realised volatility following SEO events. After controlling for common risk …
Persistent link: https://www.econbiz.de/10012971611
Persistent link: https://www.econbiz.de/10010506502
We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...
Persistent link: https://www.econbiz.de/10012244502
. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …
Persistent link: https://www.econbiz.de/10011583312
-neutral density. An implied volatility (IV) sentiment measure that is jointly derived from index and single stock options explains …
Persistent link: https://www.econbiz.de/10011587564
to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when …
Persistent link: https://www.econbiz.de/10012593635
volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …
Persistent link: https://www.econbiz.de/10013406104
exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …
Persistent link: https://www.econbiz.de/10013111682
factors and equity volatility factors. The paper finds strong evidence that the volatility factors, especially the volatility … Granger causality from credit spreads to equity volatility, operating through the slope factors, consistent with the market …
Persistent link: https://www.econbiz.de/10013094301
exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …
Persistent link: https://www.econbiz.de/10013094978