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The Fear and Exuberance from Implied Volatility of S&P 100 Index Options
16 references·16 citing·34 second hopsampled
The Fear and Exuberance from Implied Volatility of S&P 100 Index Options (2004)The Fear and Exuberance from Implied Vola…The relation between implied and realized volatility (1998)The relation between implied …The Informational Content of Implied Volatility (1993)The Informational Content of …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock Returns and Volatility (1990)Stock Returns and VolatilityGambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice (1990)Gambling with the House Money…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Implied volatility indices – A review (2020)Implied volatility indices – …The asymmetric return-volatility relationship of commodity prices (2018)The asymmetric return-volatil…Asymmetric Volatility in Equity Markets Around the World (2018)Asymmetric Volatility in Equi…Asymmetric linkages among the fear index and emerging market volatility indices (2018)Asymmetric linkages among the…Investors’ Fear and Herding Behavior: Evidence from the Taiwan Stock Market (2017)Investors’ Fear and Herding B…Herding behavior, market sentiment and volatility: Will the bubble resume? (2017)Herding behavior, market sent…Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature (2015)Neoclassical finance, behavio…The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? (2014)The implied volatility index:…Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing? (2014)Investor induced contagion du…Herd behavior and idiosyncratic volatility (2014)Herd behavior and idiosyncrat…Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation (2012)Quantile Regression Analysis …Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008 (2011)Anatomy of a meltdown: The ri…Analysing financial contagion and asymmetric market dependence with volatility indices via copulas (2011)Analysing financial contagion…VIX option pricing (2009)VIX option pricingHow asymmetric is U.S. stock market volatility? (2009)How asymmetric is U.S. stock …Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Option-Implied Risk-Neutral D…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Mental accounting matters (1999)Experimental Tests of the Endowment Effect and the Coase Theorem (2000)Mental Accounting and Consumer Choice (2008)Investor Psychology and Asset Pricing (2001)Prospect Theory and Asset Prices (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Advances in prospect theory: Cumulative representation of uncertainty (1992)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1990Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice2,378 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1993The Informational Content of Implied Volatility

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761 cited
  • 1990Stock Returns and Volatility722 cited
  • Cited by

    • 2017Herding behavior, market sentiment and volatility: Will the bubble resume?141 cited
    • 2004Option-Implied Risk-Neutral Distributions and Risk Aversion134 cited
    • 2015Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature117 cited
    • 2011Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008111 cited
    • 2012Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation107 cited
    • 2011Analysing financial contagion and asymmetric market dependence with volatility indices via copulas89 cited
    • 2018Asymmetric linkages among the fear index and emerging market volatility indices70 cited
    • 2009How asymmetric is U.S. stock market volatility?68 cited
    • 2020Implied volatility indices – A review67 cited
    • 2014Herd behavior and idiosyncratic volatility65 cited
    • 2018The asymmetric return-volatility relationship of commodity prices62 cited
    • 2018Asymmetric Volatility in Equity Markets Around the World60 cited
    • 2009VIX option pricing56 cited
    • 2017Investors’ Fear and Herding Behavior: Evidence from the Taiwan Stock Market53 cited
    • 2014The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?49 cited
    • 2014Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?44 cited