Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10014437686
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
Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama-French (2015, 2018) 5-and 6-factor models, and the q5-model captures the Stambaugh-Yuan (2017) model. The Stambaugh-Yuan factors are sensitive to their...
Persistent link: https://www.econbiz.de/10011969114
The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability, and expected growth, is a good start to understanding Graham and Dodd's (1934) Security Analysis. Empirically, the q^5 model goes a long way toward explaining prominent equity...
Persistent link: https://www.econbiz.de/10012480008
Persistent link: https://www.econbiz.de/10012034746
The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability, and expected growth, is a good start to understanding Graham and Dodd's (1934) Security Analysis. Empirically, the q5 model goes a long way toward explaining prominent equity...
Persistent link: https://www.econbiz.de/10012120267
The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability, and expected growth, is a good start to understanding Graham and Dodd's (1934) Security Analysis. Empirically, the q^5 model goes a long way toward explaining prominent equity...
Persistent link: https://www.econbiz.de/10012823391
Persistent link: https://www.econbiz.de/10014469937
This paper develops a new method to calculate hedged returns on model-free “equity VIX” option portfolios. Our returns are highly correlated with realized variance minus implied variance. Compared to CBOE’s VIX formula, our formulas are more accurate for both simulated and actual prices,...
Persistent link: https://www.econbiz.de/10013404237
Persistent link: https://www.econbiz.de/10011590678