Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
H. Ai, R. Bansal, H. Guo, A. Yaron: Identifying Preference for Early Resolution from Asset Prices
This paper develops an asset market based test for preference for the timing of resolution of uncertainty. Our main theorem provides a characterization of preference for early resolution of uncertainty in terms of the risk premium of assets realized during ... Read More
A. Naranjo, M. Nimalendran, Y. Wu: Betting on Elusive Returns: Retail Trading in Complex Options
We study the role of financial product complexity in retail investor trading. We find retail trading in complex options surged with the introduction of zero-commissions, and these traders prefer strategies with high volatility, embedded leverage, and lottery-like features. Model-free subjective ... Read More
H. Malloch, A. Aspris, J. Svec: Option Implied Dividends and the Market Risk Premium
We propose a new method for computing a lower bound to the expected future dividend component of the market risk premium from observed option prices. We find that our estimate of future dividend yields has similar characteristics to future realized ... Read More
Y. Choi, S. Lee: On Efficiency Contribution of Analyst Recommendations to Financial Markets
This paper examines the fundamental role of security analysts as information intermediaries using recent advances in the realized variance literature. We construct a signal-to-noise volatility ratio to capture the efficiency contribution of analysts' recommendations while controlling for noise in price ... Read More
S. Chen, S. Li, Y. Yang: Subjective Expectations for Variance and Skewness: Evidence from Analyst Forecasts
We propose novel firm-level measures for subjective expectations on variance and skewness derived from analysts' price forecast ranges in their research reports. We find that analyst expectations positively predict future variance and skewness of stock return, even after controlling for ... Read More
Hong Kong Institute for Monetary and Financial Research: Real Activities and Uncertainty: Evidence from Real Estate Markets
This paper investigates the impact of uncertainty on the real estate sector. We propose new proxies for real estate market uncertainty using implied volatilities extracted from options on real estate ETFs. The proposed real estate (residential and commercial) uncertainty measures ... 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.