This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is carried out by means of a portfolio optimization...

Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fi ll this gap. We show how fear and...

We propose option-implied measures of conditional asymmetry based upon quantiles and expectiles inferred from weekly options. All quantities are by construction forward looking and estimated non-parametrically through a novel arbitrage-free natural smoothing spline technique that produces quick...

We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four different econometric techniques. Independently from the econometric approach used, all models produce quick to estimate forward-looking risk measures that do not depend from the amount...

The ability of option-based measures to predict future stock returns is not a sufficient condition for the existence of incremental information in options. If options markets are informationally more efficient than the stock market, then option measures may be used to predict future actual stock...