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Lottery and bubble stocks and the cross‐section of option‐implied tail risks

Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: Journal of Futures Markets 42 (2021) 2, pp. 231-249

Persistent link: https://www.econbiz.de/10012632642

Lottery and bubble stocks and the cross-section of option-implied tail risks

Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: The journal of futures markets 42 (2022) 2, pp. 231-249

Persistent link: https://www.econbiz.de/10012817879

Role of derivatives market in attenuating underreaction to left-tail risk

Saurav, Sumit; Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama - In: The journal of futures markets 44 (2024) 3, pp. 484-517

Persistent link: https://www.econbiz.de/10014475505

Rational repricing of risk during COVID‐19 : Evidence from Indian single stock options market

Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Journal of Futures Markets 41 (2021) 10, pp. 1498-1519

Persistent link: https://www.econbiz.de/10012632619

Indian equity options: Smile, risk premiums, and efficiency

Jain, Sonali; Varma, Jayanth Rama; Agarwalla, Sobhesh Kumar - In: Journal of Futures Markets 39 (2018) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10012082163

Informed trading around earnings announcements—Spot, futures, or options?

Jain, Sonali; Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama - In: Journal of Futures Markets 39 (2018) 5, pp. 579-589

Persistent link: https://www.econbiz.de/10012082175

Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach

Kumar, Sudarshan; Agarwalla, Sobhesh Kumar; Varma, … - In: The journal of futures markets 43 (2023) 11, pp. 1615-1644

Persistent link: https://www.econbiz.de/10014432920

Betting Against beta in the Indian Market

Agarwalla, Sobhesh Kumar; Jacob, Joshy; Varma, Jayanth Rama - 2014

Persistent link: https://www.econbiz.de/10010395587

Financial literacy among working young in urban India

Agarwalla, Sobhesh Kumar; Barua, Samir K.; Jacob, Joshy; … - In: World development : the multi-disciplinary … 67 (2015), pp. 101-109

Persistent link: https://www.econbiz.de/10011338752

Betting Against Beta in the Indian Market

Agarwalla, Sobhesh Kumar - 2020

Recent empirical evidence from different markets suggests that the security market line is flatter than posited by CAPM. This flatness implies that a portfolio long in low-beta assets and short in high-beta assets would earn positive returns. Frazzini and Pedersen (2014) conceptualize a BAB...

Persistent link: https://www.econbiz.de/10012856621