Option-implied value-at-risk and the cross-section of stock returns

DOI10.1007/S11147-019-09154-ZMaRDI QIDQ2328784zbMATH OpenOpenAlexFDO

Authors Manuel Ammann, Alexander Feser

Publication date 16 October 2019

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-019-09154-z

zbMATH Keywords

downside riskoption-implied momentsoption-implied skewness

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

• Cross-section stock return and implied covariance between jump and diffusive volatility
• Nonparametric risk management and implied risk aversion
• Volatility spreads and expected stock returns
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Asymmetric volatility risk: evidence from option markets

Cites work

• scientific article; zbMATH DE number 2104212 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistent nonparametric regression. Discussion
• Robust Locally Weighted Regression and Smoothing Scatterplots

Cited in

(9)

• Cross-section stock return and implied covariance between jump and diffusive volatility
• Media-expressed tone, option characteristics, and stock return predictability
• Option implied ambiguity and its information content: evidence from the subprime crisis
• Implied volatility sentiment: a tale of two tails
• How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?
• Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
• Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
• Volatility and expected option returns: a note
• Idiosyncratic volatility, option-based measures of informed trading, and investor attention

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