Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Ohad Kadan"'
Publikováno v:
Management Science.
We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be493061260315bc141ed21bc76b99a6
https://doi.org/10.1287/mnsc.2022.4653
https://doi.org/10.1287/mnsc.2022.4653
Autor:
Xiaoxiao Tang, Ohad Kadan
Publikováno v:
The Review of Financial Studies. 33:1565-1617
We present a sufficient condition under which the prices of options written on a particular stock can be aggregated to calculate a lower bound on the expected returns of that stock. The sufficient condition imposes a restriction on a combination of t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d4c0c3155c751379e392e7edef505f4
https://doi.org/10.1093/rfs/hhz075
https://doi.org/10.1093/rfs/hhz075
Publikováno v:
The Accounting Review. 95:211-232
Sell-side analysts employ different benchmarks when defining their recommendations. A buy for some brokers means the stock is expected to outperform its industry, while for other brokers, it means the stock is expected to outperform the market or som
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c59018489fa9d11c600290150c24c445
https://doi.org/10.2308/accr-52446
https://doi.org/10.2308/accr-52446
Publikováno v:
SSRN Electronic Journal.
We offer a parsimonious index at the individual analyst level to measure the extent to which an analyst relies on earnings and long-term growth forecasts in her advice. Using this index, we evaluate the contribution of earnings and growth forecasts t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aee91ee9847c0b2ee1280a7f22837b65
https://doi.org/10.2139/ssrn.3864432
https://doi.org/10.2139/ssrn.3864432
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d4c2f19cdd6a73c3a0ec29a6aa9286a
https://doi.org/10.2139/ssrn.3966470
https://doi.org/10.2139/ssrn.3966470
Publikováno v:
SSRN Electronic Journal.
We offer an approach for recovering option-implied time-varying forward-looking risk premia of systematic factors---even if they do not possess actively-traded options. We apply this approach to the market, size, value, and momentum factors. We find
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7a2d19d97601c341bdb4506c2c25c81d
https://doi.org/10.2139/ssrn.3803993
https://doi.org/10.2139/ssrn.3803993
Autor:
Asaf Manela, Ohad Kadan
Publikováno v:
SSRN Electronic Journal.
We offer a simple, intuitive and empirically useful expression quantifying the value of asset-specific information to a strategic trader. The value of information reflects the ratio of return volatility to price impact measured using a version of Kyl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e96b2f859fb1ef127d0f5de750175273
https://doi.org/10.2139/ssrn.3645137
https://doi.org/10.2139/ssrn.3645137
Publikováno v:
SSRN Electronic Journal.
Proprietary traders’ role in capital markets has received heightened attention with the debate over the Volcker Rule following the 2008-09 financial crisis. To date, there is little evidence on whether proprietary traders provide or take liquidity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2329989e5b5efb25d2d32c10fa4525ef
https://doi.org/10.2139/ssrn.3724327
https://doi.org/10.2139/ssrn.3724327
Publikováno v:
American Economic Journal: Microeconomics. 8:86-127
We generalize the concept of “systematic risk” to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7eebc9b3f8d681e882b0c0fdb685151b
https://doi.org/10.1257/mic.20140244
https://doi.org/10.1257/mic.20140244
Publikováno v:
SSRN Electronic Journal.
We propose a methodology for estimating option-implied forward-looking variances and covariances of assets and portfolios, which may not possess actively-traded options. Our approach relies on the observation that any factor structure for stock retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2af8e7372d16f9b256373782d8850cc5
https://doi.org/10.2139/ssrn.2969089
https://doi.org/10.2139/ssrn.2969089