DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Lee, Soonhee | ko |
dc.date.accessioned | 2016-09-07T01:04:31Z | - |
dc.date.available | 2016-09-07T01:04:31Z | - |
dc.date.created | 2016-08-08 | - |
dc.date.created | 2016-08-08 | - |
dc.date.created | 2016-08-08 | - |
dc.date.issued | 2016-08 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.36, no.8, pp.722 - 744 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/212460 | - |
dc.description.abstract | This study examines the information implied in options with short and long maturities. In the analysis using the forward moments, we find that long-term option investors, on average, seem to underestimate the third moment relative to short-term option investors, and this becomes severe when the market variance is large. We find that the third moment underestimation of long-term option investors is economically meaningful using Corrado and Su's model and a trading strategy exploiting the relative underestimated skewness in long-term options. The abnormal return of the strategy is around 7% per year after controlling systematic risks. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:722-744, 201 | - |
dc.language | English | - |
dc.publisher | WILEY-BLACKWELL | - |
dc.title | Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices? | - |
dc.type | Article | - |
dc.identifier.wosid | 000379903800002 | - |
dc.identifier.scopusid | 2-s2.0-84958580583 | - |
dc.type.rims | ART | - |
dc.citation.volume | 36 | - |
dc.citation.issue | 8 | - |
dc.citation.beginningpage | 722 | - |
dc.citation.endingpage | 744 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.21769 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | RISK-NEUTRAL SKEWNESS | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | HETEROGENEOUS BELIEFS | - |
dc.subject.keywordPlus | IMPLIED VOLATILITY | - |
dc.subject.keywordPlus | EQUITY RETURNS | - |
dc.subject.keywordPlus | TERM STRUCTURE | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | PREFERENCE | - |
dc.subject.keywordPlus | MISREACTION | - |
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