Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/88713 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
SAFE Working Paper No. 5
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor that cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index.
Schlagwörter: 
extreme value theory
tail measure
implied correlation
variance risk premium
option-implied distribution
predictability
portfolio optimization
JEL: 
G11
G12
G13
G17
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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