This study shows that fitting errors of equity-option-implied volatility surfaces are informative about intermediary frictions. For each stock and day, we quantify the goodness of fit between the observed implied volatilities of all available options and the corresponding estimates from...

This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word...

We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy to hold the market. The lower bound was...

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

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...

Unlike the existing literature on value and growth investing, this paper takes a different point of view by conducting a "between-markets analysis." First of all, it asks whether the value premium also exists on a country level, in the sense that country indexes that are undervalued consistently...

The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected idiosyncratic volatility can cloud the true relation between...

This paper focuses on three important calendar events namely day of the week, turn of the month and January effect. Using both a GARCH (1 1)-M model and a mixture of distribution hypothesis (MDH) this paper investigates the return and conditional volatility pattern of the Malaysian stock index...

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...