Showing 1 - 10 of 30
The cross-section of stock returns has substantial exposure to risk captured by higher moments in market returns. We estimate these moments from daily S&P 500 index option data. The resulting time series of factors are thus genuinely conditional and forward-looking. Stocks with high...
Persistent link: https://www.econbiz.de/10013155974
Persistent link: https://www.econbiz.de/10010226790
Persistent link: https://www.econbiz.de/10009161204
Persistent link: https://www.econbiz.de/10010516049
Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it...
Persistent link: https://www.econbiz.de/10013077409
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...
Persistent link: https://www.econbiz.de/10014400299
Persistent link: https://www.econbiz.de/10001164453
Persistent link: https://www.econbiz.de/10014437686
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...
Persistent link: https://www.econbiz.de/10013249009
This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. It finds that options with high historical returns continue to significantly outperform options with low historical returns over...
Persistent link: https://www.econbiz.de/10013406104