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The market risk premium in Australia : forward-looking evidence from the options market
Aspris, Angelo; Félez-Viñas, Ester; Foley, Sean; … - In: Accounting and finance 64 (2024) 4, pp. 3951-3972
Persistent link: https://www.econbiz.de/10015165212
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What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
Foley, Sean; Li, Simeng; Malloch, Hamish; Svec, Jiri - 2022
We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term...
Persistent link: https://www.econbiz.de/10013322581
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What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
Foley, Sean; Li, Simeng; Malloch, Hamish; Svec, Jiri - 2021
We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term...
Persistent link: https://www.econbiz.de/10013210940
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What is the expected return on Bitcoin? : extracting the term structure of returns from options prices
Foley, Sean; Li, Simeng; Malloch, Hamish; Svec, Jiri - In: Economics letters 210 (2022), pp. 1-4
Persistent link: https://www.econbiz.de/10013171301