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We develop a new methodology to estimate abnormal performance and risk exposure of non-traded assets from cashflows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method...
Persistent link: https://www.econbiz.de/10013090944
We use a new approach to assess the information transmission between options and stock markets. We study whether the predictive power of option-implied volatilities (IVs) on stock returns lies in analyst-related and/or earnings-related news. We find that two proxies for options trading (IV skew...
Persistent link: https://www.econbiz.de/10013058159