Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors

Published:2020-10-23 Issue:5 Volume:21 Page:713-727
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

González-Urteaga Ana¹²^ORCID,Nieto Belén³^ORCID,Rubio Gonzalo⁴^ORCID

Affiliation:

1. Department of Business Management, Universidad Pública de Navarra, Pamplona, Spain

2. Institute for Advanced Research in Business and Economics, INARBE, Campus Arrosadía, Pamplona, Spain

3. Department of Financial Economics and Accounting, Universidad de Alicante, Alicante, Spain

4. Department of Economics and Business, Universidad CEU Cardenal Herrera, Alicante, Spain

Funder

Bank of Spain

FEDER

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1813903

Reference37 articles.

1. Size matters, if you control your junk

2. Asness, C., Frazzini, A. and Pedersen, L. H. Quality minus junk, Rev. Acc. Stud., 2019, 24, 34–112.

3. Asness, C., Frazzini, A., Gormsen, N. J. and Pedersen, L. H. Betting against correlation: Testing theories of the low-risk effect. J. Financ. Econ., 2020, 135, 629–652.

4. Empirical Performance of Alternative Option Pricing Models

5. Bakshi, G., Chabi-Yo, F. and Gao, X. A recovery that we can trust? Deducing and testing the restrictions of the recovery theorem. Working Paper, University of Maryland, 2017.

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP