Matches in SemOpenAlex for { <https://semopenalex.org/work/W1569589189> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W1569589189 abstract "Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution but are derived under the risk-neutral probability measure. This paper provides a direct way of converting risk-neutral moments into the corresponding physical moments, which are required for many applications. The main result is a representation of physical moments in terms of observed option prices and a representative investor's preferences. As an empirical application of this result, we provide implied estimates of the representative stock market investor's disappointment aversion using S&P 500 index option prices. We find that disappointment aversion has a procyclical pattern. It is high in times of high index levels and declines when the index falls. We confirm the view that investors with high risk aversion and disappointment aversion leave the stock market during times of turbulence and reenter it after a period of high returns." @default.
- W1569589189 created "2016-06-24" @default.
- W1569589189 creator A5065066466 @default.
- W1569589189 creator A5065989074 @default.
- W1569589189 date "2014-01-01" @default.
- W1569589189 modified "2023-10-12" @default.
- W1569589189 title "Risk-Adjusted Option-Implied Moments" @default.
- W1569589189 cites W1947316970 @default.
- W1569589189 cites W1966926926 @default.
- W1569589189 cites W1991267057 @default.
- W1569589189 cites W1991359428 @default.
- W1569589189 cites W2022319703 @default.
- W1569589189 cites W2052611462 @default.
- W1569589189 cites W2084931349 @default.
- W1569589189 cites W2095303557 @default.
- W1569589189 cites W2097816977 @default.
- W1569589189 cites W2099841768 @default.
- W1569589189 cites W2100359678 @default.
- W1569589189 cites W2106757932 @default.
- W1569589189 cites W2111939205 @default.
- W1569589189 cites W2116415526 @default.
- W1569589189 cites W2122413893 @default.
- W1569589189 cites W2127707402 @default.
- W1569589189 cites W2128801021 @default.
- W1569589189 cites W2141977982 @default.
- W1569589189 cites W2148338846 @default.
- W1569589189 cites W2151824431 @default.
- W1569589189 cites W2152013510 @default.
- W1569589189 cites W2153576415 @default.
- W1569589189 cites W2158019670 @default.
- W1569589189 cites W2169192943 @default.
- W1569589189 cites W2169446525 @default.
- W1569589189 cites W2322480514 @default.
- W1569589189 cites W3123497477 @default.
- W1569589189 doi "https://doi.org/10.2139/ssrn.2461571" @default.
- W1569589189 hasPublicationYear "2014" @default.
- W1569589189 type Work @default.
- W1569589189 sameAs 1569589189 @default.
- W1569589189 citedByCount "2" @default.
- W1569589189 countsByYear W15695891892020 @default.
- W1569589189 crossrefType "journal-article" @default.
- W1569589189 hasAuthorship W1569589189A5065066466 @default.
- W1569589189 hasAuthorship W1569589189A5065989074 @default.
- W1569589189 hasBestOaLocation W15695891892 @default.
- W1569589189 hasConcept C105795698 @default.
- W1569589189 hasConcept C149782125 @default.
- W1569589189 hasConcept C162118730 @default.
- W1569589189 hasConcept C162324750 @default.
- W1569589189 hasConcept C33923547 @default.
- W1569589189 hasConceptScore W1569589189C105795698 @default.
- W1569589189 hasConceptScore W1569589189C149782125 @default.
- W1569589189 hasConceptScore W1569589189C162118730 @default.
- W1569589189 hasConceptScore W1569589189C162324750 @default.
- W1569589189 hasConceptScore W1569589189C33923547 @default.
- W1569589189 hasLocation W15695891891 @default.
- W1569589189 hasLocation W15695891892 @default.
- W1569589189 hasOpenAccess W1569589189 @default.
- W1569589189 hasPrimaryLocation W15695891891 @default.
- W1569589189 hasRelatedWork W1980905932 @default.
- W1569589189 hasRelatedWork W2049502031 @default.
- W1569589189 hasRelatedWork W2066157660 @default.
- W1569589189 hasRelatedWork W2083542484 @default.
- W1569589189 hasRelatedWork W2119158312 @default.
- W1569589189 hasRelatedWork W2330407128 @default.
- W1569589189 hasRelatedWork W2552050053 @default.
- W1569589189 hasRelatedWork W2969635709 @default.
- W1569589189 hasRelatedWork W3037784022 @default.
- W1569589189 hasRelatedWork W4234996786 @default.
- W1569589189 isParatext "false" @default.
- W1569589189 isRetracted "false" @default.
- W1569589189 magId "1569589189" @default.
- W1569589189 workType "article" @default.