COVID-19 and market expectations: Evidence from option-implied densities
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DOI: 10.1016/j.econlet.2020.109441
Abstract: Abstract We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few… read more here.
Keywords: implied densities; covid market; market expectations; evidence option ... See more keywords
Market expectations of a warming climate
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DOI: 10.1016/j.jfineco.2020.08.019
Abstract: Abstract We compare prices of financial derivatives whose payouts are based on future weather outcomes to CMIP5 climate model predictions as well as observed weather station data across eight cities in the US from 2001… read more here.
Keywords: climate model; expectations warming; market expectations; warming climate ... See more keywords
The role of market expectations in commodity price dynamics: Evidence from oil data
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DOI: 10.1016/j.jimonfin.2018.09.002
Abstract: This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an explicit expectations shock along with concurrent shocks to study the commodity price movements. This… read more here.
Keywords: market expectations; oil; price; commodity price ... See more keywords
Investors' Misweighting of Firm‐Level Information and the Market's Expectations of Earnings
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DOI: 10.1111/1911-3846.12578
Abstract: Prior studies use fundamental earnings forecasts to proxy for the market's expectations of earnings because analyst forecasts are biased and are available for only a subset of firms. We find that as a proxy for… read more here.
Keywords: information; market expectations; market; firm level ... See more keywords