Matches in SemOpenAlex for { <https://semopenalex.org/work/W3117247384> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W3117247384 abstract "The slope of the option implied volatility plot against the strike reflects the risk-neutral skewness of the underlying security's conditional return distribution. We identify two principal risk sources that contribute to the cross-sectional variation of individual stock options' implied volatility skew: the market risk exposure of the stock's return and the company's default risk. Once controlled for these two risk exposures and the implied volatility level, the remaining idiosyncratic variation of the implied volatility skew reflects more of investor expectation and sentiment on the stock's future price movement and can be used to predict future stock returns with more accuracy." @default.
- W3117247384 created "2021-01-05" @default.
- W3117247384 creator A5029305089 @default.
- W3117247384 creator A5066446850 @default.
- W3117247384 date "2020-01-01" @default.
- W3117247384 modified "2023-09-27" @default.
- W3117247384 title "Cross-sectional Variation of Option Implied Volatility Skew" @default.
- W3117247384 cites W1816654404 @default.
- W3117247384 cites W1859883690 @default.
- W3117247384 cites W1983135873 @default.
- W3117247384 cites W1995834279 @default.
- W3117247384 cites W2008301397 @default.
- W3117247384 cites W2073191379 @default.
- W3117247384 cites W2077791698 @default.
- W3117247384 cites W2100284960 @default.
- W3117247384 cites W2104795328 @default.
- W3117247384 cites W2108446661 @default.
- W3117247384 cites W2117178635 @default.
- W3117247384 cites W2129220488 @default.
- W3117247384 cites W2136120210 @default.
- W3117247384 cites W2151065060 @default.
- W3117247384 cites W2156361014 @default.
- W3117247384 cites W2166215547 @default.
- W3117247384 cites W3121151953 @default.
- W3117247384 cites W3121239128 @default.
- W3117247384 cites W3121302911 @default.
- W3117247384 cites W3121337979 @default.
- W3117247384 cites W3121998206 @default.
- W3117247384 cites W3122174940 @default.
- W3117247384 cites W3123082184 @default.
- W3117247384 cites W3123174635 @default.
- W3117247384 cites W3123326583 @default.
- W3117247384 cites W3123708050 @default.
- W3117247384 cites W3123708453 @default.
- W3117247384 cites W3124012909 @default.
- W3117247384 cites W3124314889 @default.
- W3117247384 cites W3124350762 @default.
- W3117247384 cites W3124475197 @default.
- W3117247384 cites W3125018527 @default.
- W3117247384 cites W3125387330 @default.
- W3117247384 cites W3125433702 @default.
- W3117247384 cites W3125637821 @default.
- W3117247384 cites W3125732723 @default.
- W3117247384 cites W3125929260 @default.
- W3117247384 cites W3126009762 @default.
- W3117247384 cites W3126106868 @default.
- W3117247384 cites W3126120853 @default.
- W3117247384 doi "https://doi.org/10.2139/ssrn.3707006" @default.
- W3117247384 hasPublicationYear "2020" @default.
- W3117247384 type Work @default.
- W3117247384 sameAs 3117247384 @default.
- W3117247384 citedByCount "1" @default.
- W3117247384 countsByYear W31172473842022 @default.
- W3117247384 crossrefType "journal-article" @default.
- W3117247384 hasAuthorship W3117247384A5029305089 @default.
- W3117247384 hasAuthorship W3117247384A5066446850 @default.
- W3117247384 hasConcept C106159729 @default.
- W3117247384 hasConcept C121332964 @default.
- W3117247384 hasConcept C13290067 @default.
- W3117247384 hasConcept C149782125 @default.
- W3117247384 hasConcept C162324750 @default.
- W3117247384 hasConcept C24189920 @default.
- W3117247384 hasConcept C2778334786 @default.
- W3117247384 hasConcept C41008148 @default.
- W3117247384 hasConcept C43711488 @default.
- W3117247384 hasConcept C44870925 @default.
- W3117247384 hasConcept C76155785 @default.
- W3117247384 hasConcept C91602232 @default.
- W3117247384 hasConceptScore W3117247384C106159729 @default.
- W3117247384 hasConceptScore W3117247384C121332964 @default.
- W3117247384 hasConceptScore W3117247384C13290067 @default.
- W3117247384 hasConceptScore W3117247384C149782125 @default.
- W3117247384 hasConceptScore W3117247384C162324750 @default.
- W3117247384 hasConceptScore W3117247384C24189920 @default.
- W3117247384 hasConceptScore W3117247384C2778334786 @default.
- W3117247384 hasConceptScore W3117247384C41008148 @default.
- W3117247384 hasConceptScore W3117247384C43711488 @default.
- W3117247384 hasConceptScore W3117247384C44870925 @default.
- W3117247384 hasConceptScore W3117247384C76155785 @default.
- W3117247384 hasConceptScore W3117247384C91602232 @default.
- W3117247384 hasLocation W31172473841 @default.
- W3117247384 hasOpenAccess W3117247384 @default.
- W3117247384 hasPrimaryLocation W31172473841 @default.
- W3117247384 hasRelatedWork W1543991010 @default.
- W3117247384 hasRelatedWork W1555608873 @default.
- W3117247384 hasRelatedWork W1558432738 @default.
- W3117247384 hasRelatedWork W2154821347 @default.
- W3117247384 hasRelatedWork W2207440459 @default.
- W3117247384 hasRelatedWork W2244711106 @default.
- W3117247384 hasRelatedWork W2971448391 @default.
- W3117247384 hasRelatedWork W3008741760 @default.
- W3117247384 hasRelatedWork W4300449975 @default.
- W3117247384 hasRelatedWork W4287865523 @default.
- W3117247384 isParatext "false" @default.
- W3117247384 isRetracted "false" @default.
- W3117247384 magId "3117247384" @default.
- W3117247384 workType "article" @default.