A smiling bear in the equity options market and the cross-section of stock returns
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Park, Haehean | - |
dc.contributor.author | Kim, Baeho | - |
dc.contributor.author | Shim, Hyeongsop | - |
dc.date.accessioned | 2021-09-01T01:25:48Z | - |
dc.date.available | 2021-09-01T01:25:48Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2019-11 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/62085 | - |
dc.description.abstract | We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of risk-neutral tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual US-listed stocks during 2000-2013, we find that the average realized 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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | HIGHER-ORDER | - |
dc.subject | VOLATILITY | - |
dc.subject | RISK | - |
dc.subject | INFORMATION | - |
dc.subject | SKEWNESS | - |
dc.subject | PREFERENCE | - |
dc.subject | PRICES | - |
dc.subject | EQUILIBRIUM | - |
dc.subject | SECURITIES | - |
dc.subject | TRADERS | - |
dc.title | A smiling bear in the equity options market and the cross-section of stock returns | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Baeho | - |
dc.identifier.doi | 10.1002/fut.22000 | - |
dc.identifier.scopusid | 2-s2.0-85061440493 | - |
dc.identifier.wosid | 000488886000003 | - |
dc.identifier.bibliographicCitation | JOURNAL OF FUTURES MARKETS, v.39, no.11, pp.1360 - 1382 | - |
dc.relation.isPartOf | JOURNAL OF FUTURES MARKETS | - |
dc.citation.title | JOURNAL OF FUTURES MARKETS | - |
dc.citation.volume | 39 | - |
dc.citation.number | 11 | - |
dc.citation.startPage | 1360 | - |
dc.citation.endPage | 1382 | - |
dc.type.rims | ART | - |
dc.type.docType | Article; Proceedings Paper | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | HIGHER-ORDER | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | SKEWNESS | - |
dc.subject.keywordPlus | PREFERENCE | - |
dc.subject.keywordPlus | PRICES | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | SECURITIES | - |
dc.subject.keywordPlus | TRADERS | - |
dc.subject.keywordAuthor | convexity | - |
dc.subject.keywordAuthor | equity options | - |
dc.subject.keywordAuthor | implied volatility | - |
dc.subject.keywordAuthor | predictability | - |
dc.subject.keywordAuthor | stock returns | - |
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