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Estimating the Market's Expected Return and Uncertainty from Option Prices
Jaisinghani, Nikhil - 2023
low to short; an effective asset pricing model must acknowledge this. Third, it is proposed that investors are not risk …
Persistent link: https://www.econbiz.de/10014254400
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Estimating the Market's Expected Return and Uncertainty from Option Prices
Jaisinghani, Nikhil - 2023
, forecasts, and levels of conviction. Second, it is proposed that investors are not risk neutral and have non-linear utility …
Persistent link: https://www.econbiz.de/10014350096
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Earnings belief risk and the cross-section of stock returns
Gibson Brandon, Rajana; Wang, Songtao - In: Review of finance : journal of the European Finance … 24 (2020) 5, pp. 1107-1158
Persistent link: https://www.econbiz.de/10012403814
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Why do options prices predict stock returns? : evidence from analyst tipping
Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28
Persistent link: https://www.econbiz.de/10011377291
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Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …
Persistent link: https://www.econbiz.de/10011299966
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Too good to be true? : an analysis of the options market's reactions to earnings releases
Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848
Persistent link: https://www.econbiz.de/10011627641
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Why does volatility uncertainty predict equity option returns?
Cao, Jie Jay; Vasquez, Aurelio; Xiao, Xiao; Zhan, … - In: The Quarterly Journal of Finance : QJF 13 (2023) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10014305078
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Explaining the Valuation of Annuities and Lumpsum Options
Ponds, Eduard H.M; Hensen, Niek; Spliethoff, Jane - 2023
This paper analyzes how individuals value the two main payout options of retirement wealth accrued in a pension plan: a lifelong income stream offered via an annuity or as a lumpsum. A better knowledge of the drivers behind the financial valuation of pension options contributes to the...
Persistent link: https://www.econbiz.de/10014350422
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Market expectations and option prices : evidence for the DAX 30
Husmann, Sven; Lubnau, Thorben; Todorova, Neda - In: International journal of economic perspectives : IJEP 6 (2012) 2, pp. 169-181
Persistent link: https://www.econbiz.de/10011587120
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Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?
Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17
out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …
Persistent link: https://www.econbiz.de/10012259883