This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

We study the cross-section of stock option returns by sorting stocks on the difference
between historical realized volatility and at-the-money implied volatility. We find that a zero …

We study whether exposure to marketwide correlation shocks affects expected option
returns, using data on S&P100 index options, options on all components, and stock returns …

Using daily data from January 1999 to December 2011, we examine US stock returns (S&P
500, Dow Jones, NASDAQ, and Russell 2000) based on a wide range of information …

In the presence of jump risk, expected stock return is a function of the average jump size,
which can be proxied by the slope of option implied volatility smile. This implies a negative …

We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index
return and changes in implied volatility at both the daily and intraday level. Neither the …

Bitcoin has received much investor attention in recent years and following this, there has
been an explosion of academic studies examining this new financial asset. We contribute to …

We develop a flexible and analytically tractable framework which unifies the valuation of
corporate liabilities, credit derivatives, and equity derivatives. We assume that the stock price …

This study examines the role of market sentiment in predicting the price bubbles of four
strategic metal commodities (gold, silver, palladium, and platinum) from January 1985 to …