Volatility information difference between CDS, options, and the cross section of options returns
Author:
Affiliation:
1. School of Finance & China Financial Policy Research Center, Renmin University of China, Beijing, People’s Republic of China
2. Department of Accounting and Finance, Adam Smith Business School, University of Glasgow, Glasgow, UK
Funder
Renmin University of China
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1814018
Reference26 articles.
1. Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
2. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies
3. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1
4. Cross section of option returns and idiosyncratic stock volatility
5. The information content of option-implied volatility for credit default swap valuation
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