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Option-Implied Information and Predictability of Extreme Returns

Vilkov, Grigory - 2012

We study whether option-implied conditional expectation of market loss due to tail events, or tail loss measure, contains information about future returns, especially the negative ones. Our tail loss measure predicts future market returns, magnitude, and probability of the market crashes, beyond...

Persistent link: https://www.econbiz.de/10013100653

Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model

Li, Gang - 2020

When the true asset pricing model cannot be identified, the idiosyncratic volatility obtained from a misspecified model … centuries, neither equal-weighted idiosyncratic volatility (EWIV) nor value-weighted idiosyncratic volatility (VWIV) can …, Cakici, Yan, and Zhang (2005) and reconcile their mixed findings between the idiosyncratic volatility and future stock market …

Persistent link: https://www.econbiz.de/10012847166

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related …

Persistent link: https://www.econbiz.de/10012421289

Multivariate Volatility Regulated Kelly Strategy : A Superior Choice in Low Correlated Portfolios

Liu, Zhenya - 2017

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

Persistent link: https://www.econbiz.de/10012960889

Betting Against the Crowd : Option Trading and Market Risk Premium

Cao, Jie; Li, Gang; Zhan, Xintong; Zhou, Guofu - 2022

We study how equity option trading affects the market risk premium. We find that a measure of aggregate call order imbalance (ACIB), defined as the cross-sectional average of the difference between open-buy and open-sell volume, negatively forecasts future stock market returns significantly from...

Persistent link: https://www.econbiz.de/10014255200

Out-of-Sample Equity Premium Prediction : The Role of Option-Implied Constraints

Wang, Yunqi; Zhou, Ti - 2022

We study a new constrained equity premium forecasting approach which employs the option-implied lower bounds for the conditional market premium from Martin (2017) and Chabi-Yo and Loudis (2020), respectively, as forecast constraints. This constrained approach delivers considerable out-of-sample...

Persistent link: https://www.econbiz.de/10014235754

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10009689360

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10013315817

Option-Implied Correlations, Factor Models, and Market Risk

Buss, Adrian - 2017

Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter ahead. Contrary to the accepted view, implied...

Persistent link: https://www.econbiz.de/10012964588

Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets

Dim, Chukwuma; Sangiorgi, Francesco; Vilkov, Grigory - 2021

We study learning and uncertainty under the factor investing paradigm using an endogenous information model with correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative, increasing systematic uncertainty and incentivizing...

Persistent link: https://www.econbiz.de/10013247042