Consumption risks in option returns

Autor: Shuwen Yang, Kevin Aretz, Hening Liu, Yuzhao Zhang

Publikováno v: Aretz, K, Liu, H, Yang, S & Zhang, Y 2022, ' Consumption Risks in Option Returns ', Journal of Empirical Finance . https://doi.org/10.1016/j.jempfin.2022.10.001

We offer evidence that exposures to consumption growth and consumption volatility are significantly priced in the cross-section of delta-hedged option returns. Consumption growth commands a positive risk premium, whereas consumption volatility comman

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e7ffda9e8a43c6e7d77d31b97d47b28
https://doi.org/10.1016/j.jempfin.2022.10.001

Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns

Autor: Kevin Aretz, Ming-Tsung Lin, Ser-Huang Poon

Publikováno v: Aretz, K, Lin, M-T & Poon, S-H 2022, ' Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns ', Review of Finance, vol. 27, no. 1, pp. 289-323 . https://doi.org/10.1093/rof/rfac003

We study the effect of an asset’s volatility on the expected returns of European options on the asset. Deriving predictions from a stochastic discount factor model, we show that the effect depends on whether variations in the asset’s volatility a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ae7baa2e9ec121a57c06a3d83b0abceb
https://research.manchester.ac.uk/en/publications/09bf1f8b-7f6e-4395-bb35-5382fa34e1a5

Access to Collateral and The Democratization of Credit: France's Reform of The Napoleonic Security Code

Autor: Murillo Campello, Maria-Teresa Marchica, Kevin Aretz

Publikováno v: Aretz, K, Campello, M & Marchica, M 2020, ' Access to Collateral and The Democratization of Credit: France's Reform of The Napoleonic Security Code ', Journal of Finance, vol. 75, no. 1, pp. 45-90 . https://doi.org/10.1111/jofi.12846

France's Ordonnance 2006‐346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A differences‐test strategy shows that firms operating newl

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ee21fa0b864249401fc05d86f47d077d
https://pure.manchester.ac.uk/ws/files/104743502/AretzCampelloMarchica2019_AccessToCollateral_JF.pdf

Flexible Production Technology, Systematic Risk, and Stock-Level Investment Anomalies

Autor: Anastasios Kagkadis, Kevin Aretz

Publikováno v: SSRN Electronic Journal.

We offer evidence that the tendency of high real-investment stocks to underperform others (“investment anomaly”) is almost entirely attributable to firms physically constructing new capacity. The conditioning ability of construction work does not

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::674127ede62e2fc0bd7bd386c2a3c8e9
https://doi.org/10.2139/ssrn.3710507

Switching Perspective: Corporate Distress, Asset and Financial Risk, and the Cross-Section of Bond Returns

Autor: Shuwen Yang, Kevin Aretz

Publikováno v: SSRN Electronic Journal.

We offer evidence suggesting a significantly negative relation between firm-level distress risk and the cross-section of corporate bond returns, analogous to the often negative relation between distress risk and stock returns found in prior studies (

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::aae9d84704dc04505b6d7a387190476e
https://doi.org/10.2139/ssrn.3478520