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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Term Structure of Equity Return Volatility

Li, Wentao - 2022

The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns … through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend … strip futures, this paper finds that volatility feedback effects of dividend strips exist and decrease with the horizon …

Persistent link: https://www.econbiz.de/10014238985

Uncertainty of Put-Call Parity Violation and Option Returns

Liu, Chun; Wang, Tianyu; Wang, Yintian; Xiang, Hong - 2022

factors such as jump and volatility risks, short-sale constraints, and stock lottery characteristics. It is also inconsistent …

Persistent link: https://www.econbiz.de/10013403606

Equity Correlations Implied by Index Options : Estimation and Model Uncertainty Analysis

Cont, Rama - 2010

We propose a method for constructing an arbitrage-free multi-asset pricing model which is consistent with a set of observed single- and multi-asset derivative prices. The pricing model is constructed as a random mixture of N reference models, where the distribution of mixture weights is obtained...

Persistent link: https://www.econbiz.de/10013144664

Asset Pricing Implications of Volatility Term Structure Risk

Xie, Chen - 2014

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

Persistent link: https://www.econbiz.de/10013044719

Volatility and Expected Option Returns : A Note

Chaudhury, Mo - 2017

nature of the answer when the volatility differential is due to the systematic/priced risk. Here the difference in the … direction and magnitude of the net effect depends on the levels of asset beta and volatility and the moneyness and maturity of … nonlinear derivatives, one should pay attention to the source of volatility differential, and the sample range/mix of betas …

Persistent link: https://www.econbiz.de/10012968263