Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/149516 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 17-002/IV
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
Low probability events are overweighted in the pricing of out-of-the-money index puts and single stock calls. This behavioral bias is strongly time-varying, and is linked to equity market sentiment and higher moments of the risk-neutral density. We _nd that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains investors' overweight of tail events well. When employed within a trading strategy, our IV-sentiment measure delivers economically signi_cant results, which are more consistent than the ones produced by the market sentiment factor. Out-of-sample tests on reversal prediction show that our IV-sentiment measure adds value over and above traditional factors in the equity risk premium literature.
Schlagwörter: 
Sentiment
implied volatility skew
equity-risk premium
reversals
predictability
JEL: 
G12
G14
G17
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
617.47 kB





Publikationen in EconStor sind urheberrechtlich geschützt.