scholarly journals Expected market returns: SVIX, realized volatility, and the role of dividends

2019 ◽  
Vol 34 (5) ◽  
pp. 858-864
Author(s):  
Matthijs Lof
Keyword(s):  
Realized Volatility ◽  
Market Returns

scholarly journals NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES

2019 ◽  
Vol 22 (07) ◽  
pp. 1950040
Author(s):  
GIANLUCA CASSESE
Keyword(s):  
Market Imperfections ◽  
Relative Distance ◽  
Time Behavior ◽  
Option Prices ◽  
Market Returns ◽  
Actual Density ◽  
Nonparametric Estimates ◽  
Absence Of Arbitrage ◽  
Call Function

We propose a new nonparametric technique to estimate the call function based on the superhedging principle. This approach requires minimal assumptions on absence of arbitrage and other market imperfections. The estimates so obtained are then combined with SNP estimates of the actual density of market returns. This permits to investigate the time behavior of the relative distance between the two densities obtained. Our empirical findings suggest that the more the two densities differ, the shorter is time to maturity, suggesting a major role of uncertainty over shorter than longer horizons.

scholarly journals Forecasting Realized Volatility of Bitcoin: The Role of the Trade War

2020 ◽  
Author(s):  
Elie Bouri ◽  
Konstantinos Gkillas ◽  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Realized Volatility ◽  
Trade War

Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures

2021 ◽  
Vol 56 ◽  
pp. 101351
Author(s):  
Amine Lahiani ◽  
Ahmed jeribi ◽  
Nabila Boukef Jlassi
Keyword(s):  
Stock Market ◽  
Tail Dependence ◽  
Market Returns ◽  
Stock Market Returns

Googling Investor Sentiment around the World

2019 ◽  
Vol 55 (2) ◽  
pp. 549-580 ◽  
Author(s):  
Zhenyu Gao ◽  
Haohan Ren ◽  
Bohui Zhang
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Investor Sentiment ◽  
Search Behavior ◽  
Market Returns ◽  
Country Level ◽  
The World ◽  
Google Search

We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?

2020 ◽  
Author(s):  
Hossein Hassani ◽  
Mohammad Reza Yeganegi ◽  
Rangan Gupta ◽  
Riza Demirer
Keyword(s):  
United Kingdom ◽  
Stock Market ◽  
Realized Volatility ◽  
The United Kingdom

On the Verges of Overconfidence

2015 ◽  
Vol 29 (4) ◽  
pp. 3-8 ◽  
Author(s):  
Ulrike Malmendier ◽  
Timothy Taylor
Keyword(s):  
Public Policy ◽  
Stock Market ◽  
Capital Structure ◽  
Trading Volume ◽  
Market Returns ◽  
Empirical Measures ◽  
Stock Market Returns ◽  
Managerial Overconfidence ◽  
Rule Out

This symposium provides several examples of overconfidence in certain economic contexts. Michael Grubb looks at “Overconfident Consumers in the Marketplace.” Ulrike Malmendier and Geoffrey Tate consider “Behavioral CEOs: The Role of Managerial Overconfidence.” Kent Daniel and David Hirshleifer discuss “Overconfident Investors, Predictable Returns, and Excessive Trading.” A number of insights and lessons emerge for our understanding of markets, public policy, and welfare. How do firms take advantage of consumer overconfidence? Might government attempts to rule out such practices end up providing benefits to some consumers but imposing costs on others? How are empirical measures of CEO overconfidence related to investment and the capital structure of firms? Can overconfidence among at least some investors help to explain prominent anomalies in stock markets like high levels of trading volume and certain predictable patterns in stock market returns?

scholarly journals Doing Well by Doing Good, Uniquely: Materiality and the Market Value of Unique CSR Strategies

2021 ◽  
Author(s):  
Leandro Nardi ◽  
Todd Zenger ◽  
Sérgio Giovanetti Lazzarini ◽  
Sandro Cabral
Keyword(s):  
Degrees Of Freedom ◽  
Strong Support ◽  
Market Value ◽  
Strategic Decision ◽  
Market Returns ◽  
Individual Level ◽  
Csr Strategies ◽  
Key Stakeholders ◽  
Corporate Social

Corporate social responsibility (CSR) has become a strategic decision for organizations. The capacity to invest in several distinct CSR categories at varying levels (e.g., environmental innovation, diversity, community) leaves firms with a multitude of patterns from which to choose. However, the question of whether market returns to CSR are defined by individual-level positioning choices or by industry-level conditions––particularly the materiality of distinct categories of CSR––remains unresolved. Drawing on the literature arguing that stakeholders are crucial enablers of value creation and capture, we theorize that unique CSR strategies more effectively promote stakeholder engagement by helping firms develop differentiated and unrivaled positions with key stakeholders. Thus, we argue that CSR uniqueness is positively associated with market value. Yet we also argue that uniqueness can be constrained by materiality: in industries in which a higher number of CSR categories are considered material, firms have fewer degrees of freedom to successfully differentiate from competitors; hence, the market returns to unique CSR positioning are negatively associated with the number of CSR categories deemed material to the industry. Using a novel measure of uniqueness of CSR strategies and a database containing environmental, social, and financial information of 2,093 firms between 2002 and 2017, we find strong support for our hypotheses. To shed further light on the mechanisms driving the role of materiality, we examine the 2010 BP Deepwater Horizon oil spill.

Aggregate Accruals and Market Returns: The Role of Aggregate M&A Activity

2019 ◽  
Author(s):  
John C. Heater ◽  
Suresh Nallareddy ◽  
Mohan Venkatachalam
Keyword(s):  
Market Returns
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