Option-Implied variance asymmetry and the cross-section of stock returns
Year of publication: |
2019
|
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Authors: | Huang, Tao ; Li, Junye |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 101.2019, p. 21-36
|
Subject: | Implied variance asymmetry | Informed trading | Liquidity | Return predictability | Risk-neutral semivariances | Risk-neutral skewness | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Asymmetrische Information | Asymmetric information | Kapitalmarktrendite | Capital market returns | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Schätzung | Estimation | Optionsgeschäft | Option trading |
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