A Smiling Bear In The Equity Options Market And The Cross Section Of Stock Returns
Download and Read A Smiling Bear In The Equity Options Market And The Cross Section Of Stock Returns full books in PDF, ePUB, and Kindle. Read online free A Smiling Bear In The Equity Options Market And The Cross Section Of Stock Returns ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns
Author | : Hye-hyun Park |
Publisher | : |
Total Pages | : 46 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns Book in PDF, Epub and Kindle
We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find that the average return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per month, which is both economically and statistically significant on a risk-adjusted basis. Our empirical findings indicate the contribution of informed options trading to price discovery in terms of the realization of tail-risk aversion in the stock market.
A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns Related Books
Pages: 46
Pages:
Pages: 82
Pages:
Pages: 37