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The Market for Crash Risk
16 references·5 citing·47 second hop
The Market for Crash Risk (2001)The Market for Crash RiskDynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…Empirical pricing kernels (2002)Empirical pricing kernelsRecovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Risk Management and Implied Risk Aversion (2000)Nonparametric Risk Management…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…The relation between implied and realized volatility (1998)The relation between implied …An Equilibrium Model with Restricted Stock Market Participation (1998)An Equilibrium Model with Res…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Recovering Risk Aversion from Option Prices and Realized Returns (1996)Recovering Risk Aversion from…Equilibrium Analysis of Portfolio Insurance (1996)Equilibrium Analysis of Portf…Consumption and Portfolio Decisions When Expected Returns are Time Varying (1996)Consumption and Portfolio Dec…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The Crash of '87: Was It Expected? The Evidence from Options Markets (1991)The Crash of '87: Was It Expe…Two-Person Dynamic Equilibrium in the Capital Market (1989)Two-Person Dynamic Equilibriu…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models (2011)Pricing American interest rat…Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide (2007)Option prices, exchange marke…The Econometrics of Option Pricing (2004)The Econometrics of Option Pr…The Information in Option Volume for Stock Prices (2003)The Information in Option Vol…Dynamic Derivative Strategies (2002)Dynamic Derivative StrategiesThe Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Correlation Risk and Optimal Portfolio Choice (2010)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The equity premium: A puzzle (1985)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle (2002)A Model of Capital and Crises (2011)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock Return Predictability: Is it There? (2001)Bad Beta, Good Beta (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Prices of State-Contingent Claims Implicit in Option Prices (1978)On estimating the expected return on the market (1980)Implied Binomial Trees (1994)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)Theory of Rational Option Pricing (1973)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)Time-changed Lévy processes and option pricing (2003)Option‐Implied Risk Aversion Estimates (2004)Risk and Volatility: Econometric Models and Financial Practice (2004)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 2002Empirical pricing kernels687 cited
  • 1998An Equilibrium Model with Restricted Stock Market Participation591 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 1989Two-Person Dynamic Equilibrium in the Capital Market376 cited
  • 1996Consumption and Portfolio Decisions When Expected Returns are Time Varying315 cited
  • 1996Equilibrium Analysis of Portfolio Insurance299 cited
  • 2000Nonparametric Risk Management and Implied Risk Aversion272 cited
  • 1996Recovering Risk Aversion from Option Prices and Realized Returns255 cited

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1991
The Crash of '87: Was It Expected? The Evidence from Options Markets
214 cited

Cited by

  • 2004The Econometrics of Option Pricing30 cited
  • 2011Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models27 cited
  • 2003The Information in Option Volume for Stock Prices26 cited
  • 2002Dynamic Derivative Strategies21 cited
  • 2007Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide14 cited