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Option-Implied Measures of Equity Risk
16 references·16 citing·30 second hopsampled
Option-Implied Measures of Equity Risk (2011)Option-Implied Measures of Equity RiskThe Econometrics of Financial Markets (2012)The Econometrics of Financial…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Handbooks in operations research and management science (1989)Handbooks in operations resea…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Opposing Effects of Complexity and Information Content on Uncertainty Dynamics: Evidence from 10-K Filings (2023)The Opposing Effects of Compl…The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas (2020)The Conditional Capital Asset…Risk premium spillovers among stock markets: Evidence from higher-order moments (2020)Risk premium spillovers among…Firm-level Climate Change Exposure (2020)Firm-level Climate Change Exp…A Descriptive Study of High-Frequency Trade and Quote Option Data* (2020)A Descriptive Study of High-F…Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section (2019)Estimating beta: Forecast adj…Risk‐neutral moment‐based estimation of affine option pricing models (2018)Risk‐neutral moment‐based est…A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion (2018)A New Predictor of U.S. Real …The Factor Structure in Equity Options (2017)The Factor Structure in Equit…Monthly Beta Forecasting with Low‐, Medium‐ and High‐Frequency Stock Returns (2016)Monthly Beta Forecasting with…Estimating Beta (2016)Estimating BetaPortfolio Optimization Using Forward-Looking Information (2014)Portfolio Optimization Using …Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options (2013)Predictable Dynamics in Highe…Forecasting with Option-Implied Information (2013)Forecasting with Option-Impli…Measuring Equity Risk with Option-implied Correlations (2012)Measuring Equity Risk with Op…Measuring Equity Risk with Option-Implied Correlations (2008)Measuring Equity Risk with Op…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The arbitrage theory of capital asset pricing (1976)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Introductory Econometrics for Finance (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1989Handbooks in operations research and management science

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Cited by

  • 2012Measuring Equity Risk with Option-implied Correlations159 cited
  • 2017The Factor Structure in Equity Options101 cited
  • 2013Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options99 cited
  • 2013Forecasting with Option-Implied Information97 cited
  • 2020Firm-level Climate Change Exposure96 cited
  • 2016Estimating Beta76 cited
  • 2008Measuring Equity Risk with Option-Implied Correlations63 cited
  • 2020Risk premium spillovers among stock markets: Evidence from higher-order moments60 cited
  • 2014Portfolio Optimization Using Forward-Looking Information60 cited
  • 2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas48 cited
  • 2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section45 cited
  • 2018A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion36 cited
  • 2023The Opposing Effects of Complexity and Information Content on Uncertainty Dynamics: Evidence from 10-K Filings34 cited
  • 2016Monthly Beta Forecasting with Low‐, Medium‐ and High‐Frequency Stock Returns32 cited
  • 2020A Descriptive Study of High-Frequency Trade and Quote Option Data*28 cited
  • 2018Risk‐neutral moment‐based estimation of affine option pricing models27 cited