dc.citation.conferencePlace |
NZ |
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dc.citation.conferencePlace |
Auckland |
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dc.citation.title |
2015 Conference on Derivative Markets |
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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 |
2023-12-19T22:07:12Z |
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dc.date.available |
2023-12-19T22:07:12Z |
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dc.date.created |
2015-09-08 |
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dc.date.issued |
2015-08-14 |
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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 excess 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 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 that informed options traders anticipating heavier tail risk proactively induce leptokurtic implied distributions of underlying stock returns before equity investors express their tail-risk aversion. |
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dc.identifier.bibliographicCitation |
2015 Conference on Derivative Markets |
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dc.identifier.uri |
https://scholarworks.unist.ac.kr/handle/201301/44889 |
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dc.identifier.url |
http://www.acfr.aut.ac.nz/past-conferences-and-events/2015-derivative-markets/2015-dmc-academic-programme |
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dc.language |
영어 |
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dc.publisher |
Auckland Center for Financial Research AUT Business School |
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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 |
2015-08-13 |
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