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I find that stocks with high sensitivities to changes in the VIX slope exhibit high returns on average. The price of VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors, such as the market excess return, size, book-to-market,...
Persistent link: https://www.econbiz.de/10013044719
particular asset, option prices across different strikes are related to the level of volatility and the correlation of volatility …
Persistent link: https://www.econbiz.de/10014254351
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to covered calls on eleven global indexes. We find that,...
Persistent link: https://www.econbiz.de/10012953741
traditional ways, especially in the unbanked world with its huge potential for growth and social well being. These new financial … potential to radically transform the world in which we live, while promoting the core values of industrialized societies …
Persistent link: https://www.econbiz.de/10013021212
returns, inflation and the business activity. Second, it documents increased correlation of the commodity returns with the …
Persistent link: https://www.econbiz.de/10013034279
futures markets. First, a regression analysis is conducted in order to examine the correlation between financialization and … the disappearance of roll yields. Second, after finding such a correlation, we assume that this correlation is driven by …
Persistent link: https://www.econbiz.de/10013034775
We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices...
Persistent link: https://www.econbiz.de/10013242744
In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...
Persistent link: https://www.econbiz.de/10013108435
In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...
Persistent link: https://www.econbiz.de/10013108520
This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...
Persistent link: https://www.econbiz.de/10013066199