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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …
Persistent link: https://www.econbiz.de/10010292171
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10010289723
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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U.S. Presidential Elections and Implied Volatility : The Role of Political Uncertainty
Goodell, John W. - 2013
This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility during U.S. presidential election cycles. Using monthly Iowa Electronic Markets data over five elections, we document that stock market uncertainty, as measured by the VIX...
Persistent link: https://www.econbiz.de/10013091485
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How Asymmetric is U.S. Stock Market Volatility?
Ederington, Louis H. - 2009
This paper explores differences in the impact of equally large positive and negative surprise return shocks in the aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3) realized volatility. Both asymmetric time series models...
Persistent link: https://www.econbiz.de/10013159746
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Recent Developments in Financial Risk and the Real Economy
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …
Persistent link: https://www.econbiz.de/10014437009
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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
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Mispricing of S&P 500 index options
Constantinides, George M.; Jackwerth, Jens Carsten; … - 2005
We document widespread violations of stochastic dominance in the one-month S&P 500 index options market over the period … conform to the BSM model reasonably well, they are incorrectly priced. Over 1997-2002, many options, particularly OTM calls … support the hypothesis that the options market is becoming more rational over time. Finally, our results dispel another common …
Persistent link: https://www.econbiz.de/10010266937
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts …
Persistent link: https://www.econbiz.de/10011476532
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When did the options market in Enron lose its' smirk?
Mizrach, Bruce - 2002
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the...
Persistent link: https://www.econbiz.de/10010318377