An examination of ex ante risk and return in the cross-section using option-implied information
Dongcheol Kim, Ren-Raw Chen, Tai-Yong Roh and Durga Panda
| Year of publication: |
2020
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|---|---|
| Authors: | Kim, Dongcheol ; Chen, Ren-Raw ; Roh, Tai-Yong ; Panda, Durga |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 16, p. 1623-1645
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| Subject: | cross-section of expected returns | macroeconomic condition | option-implied beta | Option-implied return | risk-adjusted option pricing model | Kapitaleinkommen | Capital income | CAPM | Optionspreistheorie | Option pricing theory | Risiko | Risk | Schätzung | Estimation | Risikoprämie | Risk premium | Betafaktor | Beta risk | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2020.1767171 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314643