dc.citation.conferencePlace |
US |
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dc.citation.title |
2016 FMA Annual Meeting Program |
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dc.contributor.author |
Park, Hye Hyun |
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dc.contributor.author |
Kim, Baeho |
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dc.contributor.author |
Shim, Hyeongsop |
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dc.date.accessioned |
2023-12-19T20:06:25Z |
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dc.date.available |
2023-12-19T20:06:25Z |
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dc.date.created |
2016-12-05 |
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dc.date.issued |
2016-10-21 |
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dc.description.abstract |
We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of risk-neutral tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find that the average realized return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per month, which is both economically and statistically significant on a risk-adjusted basis. Our empirical findings indicate the contribution of informed options trading to price discovery in terms of the realization of tail-risk aversion in the stock market. |
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dc.identifier.bibliographicCitation |
2016 FMA Annual Meeting Program |
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dc.identifier.uri |
https://scholarworks.unist.ac.kr/handle/201301/40655 |
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dc.identifier.url |
http://www.fma.org/Vegas/VegasProgram.htm |
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dc.language |
영어 |
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dc.publisher |
Financial Management Association |
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dc.title |
A Smiling Bear in the Equity Options Market and the Cross-section of Stock Returns |
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dc.type |
Conference Paper |
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dc.date.conferenceDate |
2016-10-19 |
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