Relatively little is known about the empirical performance of infinite-activity Levy jump models, especially with non-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse Gaussian jumps with affine and non-affine...

This paper documents a robust new finding that delta-hedged equity option return decreases monotonically with an increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It is distinct from existing anomalies in the stock market...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

This paper describes an empirical study of the information content of daily share prices and American put and call option mid-quotes about their generating process. Considering stock return and its volatility as the risk factors and without parameterizing their historical joint dynamics, two...

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various...

Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...

This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies...

We model and study the behavior of bankrupt stocks. We are interested in the dynamics of stocks and options, and in particular the cost of establishing positions with negative delta.This extends a model of Avellaneda and Lipkin which was used to model hard-to-borrow stocks. This model is a...

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

We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...