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The relationships between sentiment, returns and volatility

Wang, Yaw-Huei; Keswani, Aneel; Taylor, Stephen - In: International journal of forecasting 22 (2006) 1, pp. 109-123

Persistent link: https://www.econbiz.de/10003283957

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52

Persistent link: https://www.econbiz.de/10003862759

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

The Euro and European financial market dependence

Bartram, Söhnke M.; Taylor, Stephen; Wang, Yaw-Huei - In: Journal of banking & finance 31 (2007) 5, pp. 1461-1481

Persistent link: https://www.econbiz.de/10003461173

Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

Persistent link: https://www.econbiz.de/10003461175

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...