
Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
R. Fahlenbrach, M. Ko, and R. M. Stulz: Bank payout policy, regulation, and politics
Bank payout policy is strongly affected by regulation and politics, especially for the largest banks. Banks, but not industrial firms, have consistently lower payouts in times of high regulation uncertainty and under democratic presidents. After the Global Financial Crisis, bank ... Read More
Y. Xie and D. Linders: Looking beyond Implied Correlation: Its adequacy, Nonlinear Dependence and Market Risk
We propose a new measure, the Implied Correlation Gap (ICG), to quantify the degree of the inadequacy of implied correlation to capture implied market dependence. We define ICG as the ratio between the implied correlation and an alternative implied dependence ... Read More
T. Yan, J. Yin, L. Wang, and H. Y. Wong: 4/2 Rough and Smooth
Conflicting opinions on rough volatility motivate us to propose a convex combination of the rough Heston (rough 1/2) and smooth 3/2 models to create a novel 4/2 rough and smooth (4/2RS) volatility model. This parsimonious two-factor model captures many stylized ... Read More
R. Fahlenbrach, M. Ko, and R. Stulz: Bank Payout Policy, Regulation, and Politics NBER Working Paper No. w32770
Bank payout policy is strongly affected by regulation and politics, especially for the largest banks. Banks, but not industrial firms, have consistently lower payouts in times of high regulation uncertainty and under democratic presidents. After the Global Financial Crisis, bank ... Read More
B. Knox and Y. Timmer: Stagflationary Stock Returns
We study investors’ perceptions of inflation through the lens of a high-frequency event study and document that they have a stagflationary view of the world. In response to higher-than-expected inflation, investors expect firms’ nominal cash flows to remain stagnant while ... Read More
P. Francois, G. Gauthier, F. Godin, and C. O. Pérez Mendoza: Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information
We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The optimal hedging strategy is obtained through a deep policy gradient-type reinforcement learning algorithm, with a ... 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.