Consumption Risk and the Cross-Section of Option Returns

2018 ◽  
Author(s):  
Kevin Aretz ◽  
Hening Liu ◽  
Shuwen Yang ◽  
Yuzhao Zhang
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Consumption Risk

Long-Horizon Consumption Risk and the Cross-Section of Expected Returns: A Cross-Country Perspective

2008 ◽  
Author(s):  
Joachim Grammig ◽  
Andreas Schrimpf ◽  
Michael Schuppli
Keyword(s):  
Cross Section ◽  
Expected Returns ◽  
Cross Country ◽  
The Cross ◽  
Consumption Risk

Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns

2020 ◽  
Author(s):  
Lakshmi Shankar Ramachandran ◽  
Jitendra Tayal
Keyword(s):  
Cross Section ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Option Returns ◽  
The Cross

Mispricing, short-sale constraints, and the cross-section of option returns

2021 ◽  
Author(s):  
Lakshmi Shankar Ramachandran ◽  
Jitendra Tayal
Keyword(s):  
Cross Section ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Option Returns ◽  
The Cross

scholarly journals Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

2008 ◽  
Author(s):  
Joachim Grammig ◽  
Andreas Schrimpf ◽  
Michael Schuppli
Keyword(s):  
Cross Section ◽  
International Evidence ◽  
The Cross ◽  
Consumption Risk

The Determinants of the KOSPI200 Index Option Returns

2016 ◽  
Vol 24 (1) ◽  
pp. 65-96
Author(s):  
Byung Jin Kang
Keyword(s):  
Cross Section ◽  
Global Financial Crisis ◽  
Factor Model ◽  
Related Factor ◽  
Related Factors ◽  
Cross Sectional ◽  
Option Returns ◽  
The Cross ◽  
The Global Financial Crisis ◽  
Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

Volatility Mean Reversion and the Cross-Section of Option Returns

2009 ◽  
Author(s):  
Aurelio Vasquez
Keyword(s):  
Cross Section ◽  
Mean Reversion ◽  
Option Returns ◽  
The Cross

scholarly journals Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

2009 ◽  
Vol 64 (2) ◽  
pp. 923-956 ◽  
Author(s):  
ZHI DA
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Cash Flow ◽  
The Cross ◽  
Consumption Risk
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