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- W1987341975 abstract "I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a long/short portfolio of equity options, built on the basis of how implied volatilities change around macroeconomic announcements. I find that macroeconomic uncertainty is priced in the cross-section of option returns, even after controlling for a number of relevant factors. The results are robust to alternative ways of measuring option returns, and to the non-random pattern of missing returns." @default.
- W1987341975 created "2016-06-24" @default.
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- W1987341975 date "2014-11-01" @default.
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- W1987341975 title "Macroeconomic uncertainty and the cross-section of option returns" @default.
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- W1987341975 doi "https://doi.org/10.1016/j.finmar.2014.06.001" @default.
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