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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …
Persistent link: https://www.econbiz.de/10012404549
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …
Persistent link: https://www.econbiz.de/10012404647
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets … by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic … 5-10 percent, reflecting impact uncertainty. Using hurricane forecasts, we show that landfall uncertainty and potential …
Persistent link: https://www.econbiz.de/10012181922
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790
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Impact of macroeconomic news on metal futures
Elder, John; Miao, Hong; Ramchander, Sanjay - In: Journal of Banking & Finance 36 (2012) 1, pp. 51-65
This paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities – gold, silver and copper futures. We find that the...
Persistent link: https://www.econbiz.de/10010582658
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Jumps and information asymmetry in the US treasury market
Dumitru, Ana-Maria H.; Urga, Giovanni - 2016
This paper analyses the informational role of the trading activity when jumps occur in the US Treasury market. As jumps mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational asymmetry. We identify jumps using a combination of jump...
Persistent link: https://www.econbiz.de/10011452862
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...
Persistent link: https://www.econbiz.de/10010302536
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...
Persistent link: https://www.econbiz.de/10008684983
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...
Persistent link: https://www.econbiz.de/10009767118
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Unlocking ESG premium from options
Cao, Jie Jay; Goyal, Amit; Zhan, Xintong; Zhang, … - 2021
that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be …
Persistent link: https://www.econbiz.de/10012593635