Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
X. Chen, B. Du, and X. He: The Risk of Finance Words
This paper proposes a dictionary tailored for volatility analysis in finance research. We investigate the comovement between corporate textual information and option-implied volatility, via robust multinomial inverse regression. The volatility dictionary contains vastly different words from the sentiment dictionary (Loughran ... Read More
H. Louis, P. Truong, Z. Xu, and Y. Yang: Differences of Opinion and Corporate Investment Efficiency
Differences of opinion among traders are ubiquitous in financial markets. Yet, little is known about their effects on real managerial decisions. We study the impact of differences of opinion on managerial learning from prices and find that differences of opinion ... Read More
J. Ma and Y. Zhang: Option Price Asymmetry, Speculation and Stock Short-Sale Cost
We introduce the variable implied variance asymmetry (IVA), defined as the difference between put and call option prices, and demonstrate that it is negatively correlated with future cross-sectional delta-hedged call option returns and positively correlated with future delta-hedged put option ... Read More
L. Mu: Ross Recovery Theorem, Risk-Free Rates, and Risk-Neutral Returns
This paper investigates the information embedded in state prices, specifically risk-free rates and risk-neutral returns, and highlights the limitations of the Ross recovery theorem. We theoretically demonstrate the application of Ross recovery under flat term structures of risk-free rates and ... Read More
G. Bakshi, J. Crosby, X. Gao, and J. W. Hansen: A Theory of Small Maturity Effects and Data Realities of 7DTE Treasury Options across Tenors
This study introduces data on weekly expiring (7DTE) Treasury options and presents two observations. First, the 7DTE risk-neutral distributions of the 30-year bond futures are right-shifted compared to their 10-year counterparts. Second, the return skewness for both tenors changes direction, with the 30 ... Read More
R. Baule and L. Sperling: Transition Risk Premiums in Option Prices
The economy is in a transition process to a low-carbon state, inducing an additional source of risk for stocks, the transition risk. Using a measure of transition risk at individual firm level, the carbon beta developed by Goergen et al. ... Read More
Highlighted Research
Reducing Risk through Multifactors: Implied Variance Asymmetry and Implied Beta
By G. DeSimone & O. Shih
February 15, 2024
OptionMetrics' latest study challenges conventional risk assessment using metrics like implied variance asymmetry (IVA), calculated as the measure of downside variance relative to upside variance, and option-implied beta strategies.