Do hedge funds time market tail risk? Evidence from option‐implied tail risk
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21972
Abstract: This paper focuses on an unexplored dimension of fund managers’ timing ability: Market‐wide tail risk implied by information in options markets. Constructing the option‐implied tail risk, we investigate whether hedge fund managers can strategically time… read more here.
Keywords: risk; tail risk; hedge; implied tail ... See more keywords
Option-implied filtering: evidence from the GARCH option pricing model
Sign Up to like & getrecommendations! Published in 2019 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-019-00816-5
Abstract: One crucial task of option price modeling is to estimate latent state variables. This paper emphasizes the importance of incorporating option implied information to update latent state variables and sheds light on numerical developments to… read more here.
Keywords: implied filtering; model; option pricing; option ... See more keywords
COVID-19 and market expectations: Evidence from option-implied densities
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
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
The effect of option-implied skewness on delta- and vega-hedged option returns
Sign Up to like & getrecommendations! Published in 2021 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2021.101408
Abstract: We study the relation between option-implied skewness (IS) and the cross-section of option returns under daily hedging to better understand the pricing of skewness in isolation from lower moments. Creating portfolios of delta-hedged (D-hedged) and… read more here.
Keywords: option returns; implied skewness; delta vega; option ... See more keywords
Option-implied skewness: Insights from ITM-options
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2021.104227
Abstract: Abstract While the standard to calculate model-free option-implied skewness (MFIS) relies on out-of-the-money (OTM) options, we examine the empirical and economic implications of using in-the-money (ITM) options. We find that the positive short-term return predictability… read more here.
Keywords: implied skewness; skewness insights; option; itm options ... See more keywords