Option‐implied betas and the cross section of stock returns
Author:
Affiliation:
1. Xfi Centre for Finance and InvestmentUniversity of Exeter Exeter UK
2. The People’s Bank of China Shanghai Head Office Shanghai China
3. PBC School of FinanceTsinghua University Beijing China
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21936
Reference32 articles.
1. Illiquidity and stock returns: cross-section and time-series effects
2. Ang A. Chen J. &Xing Y.(2002).Downside correlation and expected stock returns(Working paper).
3. Downside Risk
4. The Cross-Section of Volatility and Expected Returns
5. Empirical Performance of Alternative Option Pricing Models
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