Lottery and bubble stocks and the cross-section of option-implied tail risks

被引：2
|
作者：
Agarwalla, Sobhesh Kumar [1 ]
Saurav, Sumit [1 ]
Varma, Jayanth R. [1 ]
机构：
[1] Indian Inst Management Ahmedabad, Ahmadabad 380015, Gujarat, India
来源：
JOURNAL OF FUTURES MARKETS | 2022年 / 42卷 / 02期
关键词：
bubble stocks; emerging markets; lottery stocks; volatility skew; volatility smile; NET BUYING PRESSURE; STOCHASTIC VOLATILITY; EMPIRICAL-EXAMINATION; SMILE; SKEWNESS; STRATEGIES; OPINION; MARKETS; RETURN;
D O I：
10.1002/fut.22263
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The options smile provides forward-looking information about the risk at the center of the distribution (ATM-IV) and at the tails (Skew). We investigate the cross-sectional determinants of the options smile using indices that capture firm fundamental risks, heterogeneity in belief, lottery characteristics, and bubble characteristics. We find that at-the-money (ATM) volatility is explained mainly by historical risks and predicted future risks measured using accounting-based risk measures and firm characteristics. However, the cross-sectional variation in the skew is driven by risk premia and by buying and selling pressure, which is influenced by heterogeneity in belief and the underlying's lottery-like and bubble-like characteristics.
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页码：231 / 249
页数：19
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