by applying ‘extreme value theory', and then use these measures to investigate the information content of option …-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S … tail-risk premium …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and …

factors such as jump and volatility risks, short-sale constraints, and stock lottery characteristics. It is also inconsistent …

This paper investigates whether fundamental accounting information is appropriately priced in the options market. We … and beyond what is captured by implied and historical stock volatility, suggesting that the options market does not fully … incorporate fundamental information into option prices. Transaction costs substantially reduce the overall profitability of hedge …

to jumps in the underlying price. By contrast, volatility risk plays a smaller role close to maturity. Our results imply …' risk characteristics. Specifically, options' convexity risk increases sharply close to maturity, making them more sensitive … the cycle, while investors wishing to protect against downside risk should use back-month options to reduce hedging costs …

-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …

We study whether prices of traded options contain information about future extreme market events. Our option … cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to … construct managed portfolios of a risk-free asset and market index. …