Asset pricing in the stock and options markets = Valoración de activos de los mercados de acciones y opciones
This thesis comprises three essays on asset pricing on the stock and options markets. The …first essay …finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay …finds a negative relation between realized skewness, extracted from hi...
Autor Principal: | |
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Formato: | Trabajo de grado (Bachelor Thesis) |
Lenguaje: | Desconocido (Unknown) |
Publicado: |
2010
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Materias: | |
Acceso en línea: | http://babel.banrepcultural.org/cdm/ref/collection/p17054coll23/id/83 |
Sumario: | This thesis comprises three essays on asset pricing on the stock and options markets. The …first essay …finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay …finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns. |
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