Publication
Option-implied information and return prediction
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Faias, José | |
| dc.contributor.author | Almeida, João Augusto Ribeiro dos Santos Pereira de | |
| dc.date.accessioned | 2015-02-16T14:51:23Z | |
| dc.date.available | 2015-02-16T14:51:23Z | |
| dc.date.issued | 2014-10-21 | |
| dc.date.submitted | 2014 | |
| dc.description.abstract | We prove the existence of a negative variance risk premium for major US stock indexes and stocks, except for relatively high market capitalization stocks. A zero net investment strategy based on log variance risk premium yields an annualized Sharpe ratio of 0.38 and an annualized certainty equivalent of 4.68%. We find that both the log variance risk premium and option-implied betas are negatively priced in contemporaneous and future returns, which is counter intuitive for option-implied betas, given the expected risk return relation. | por |
| dc.identifier.tid | 201181851 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/16663 | |
| dc.language.iso | eng | por |
| dc.title | Option-implied information and return prediction | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |
| thesis.degree.name | Mestrado em Economia |