We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the CDS portfolio analysis, when buying a portfolio with...

This study investigates how managerial risk-based incentives and ethical leadership influence accounting conservatism in Egyptian and Saudi-listed companies from 2018 to 2020. Drawing on Agency, Upper-Echelons and Social Learning theories, this paper examines the relationship between managerial...