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Higher moment risk premiums for the crude oil market : a downside and upside conditional decomposition

Fonseca, José da; Xu, Yahua - In: Energy economics 67 (2017), pp. 410-422

Persistent link: https://www.econbiz.de/10011897942

Variance premium and implied volatility in a low-liquidity option market

Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10011898770

Learning and forecasts about option returns through the volatility risk premium

Bernales, Alejandro; Chen, Louisa; Valenzuela, Marcela - In: Journal of economic dynamics & control 82 (2017), pp. 312-330

Persistent link: https://www.econbiz.de/10011915574

Volatility measures as predictors of extreme returns

Switzer, Lorne N.; Tahaoglu, Cagdas; Zhao, Yun Selina - In: Review of financial economics : RFE 35 (2017), pp. 1-10

Persistent link: https://www.econbiz.de/10011959385

Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty

Zhou, Hao - In: Annual review of financial economics 10 (2018), pp. 481-497

Persistent link: https://www.econbiz.de/10011959905

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555

Oil volatility risk and expected stock returns

Christoffersen, Peter F.; Pan, Xuhui - In: Journal of banking & finance 95 (2018), pp. 5-26

Persistent link: https://www.econbiz.de/10011966688

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

Persistent link: https://www.econbiz.de/10011904683

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