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explaining the information content of options trading for future stock returns. Using implied volatility skew to capture the …
Persistent link: https://www.econbiz.de/10013323944
In this study, we analyze the information content of the TXO market using decoupled O/S ratio. First, we find that, among four classes of traders, only foreign institutional investors have significant predictive power in the TXO market, thereby providing evidence that foreign investor flows do...
Persistent link: https://www.econbiz.de/10012995300
This study reexamines the determinants of volatility spreads and suggests a new forecast of future volatilities …. Contrary to earlier volatility forecasts, the newly introduced forecast is applicable when investors are not risk-neutral or … the presence of risk premia for other risks such as volatility risk. Using S&P 500 index options, we show that the new …
Persistent link: https://www.econbiz.de/10013152308
distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns …
Persistent link: https://www.econbiz.de/10013110348
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this … article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for … market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that …
Persistent link: https://www.econbiz.de/10013086617
We find strong evidence that net insider selling is positively associated with future stock return volatility … significantly stronger when the volatility is measured around the earnings announcement. Apparently, option prices do not fully … reflect the information content of insider trading for future volatility. More specifically, we find no evidence that option …
Persistent link: https://www.econbiz.de/10012977590
We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...
Persistent link: https://www.econbiz.de/10012847745
We propose the option realized variance as an observable variable to summarize information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute the option's total variability for a given day. Using the S&P 500 index time series and...
Persistent link: https://www.econbiz.de/10012854257
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