Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
M. Reiner: Pricing of Climate Event Risks and Opportunities in the Options Market
This paper investigates whether climate policy event risks are priced ex ante in the options market. I show both theoretically and empirically that option prices increase with a firm's absolute exposure to climate change, regardless of direction. I develop a model ... Read More
Y. Yang and T. M. Hospedales: Neural Fractional Stochastic Differential Equations
Fractional-order differential equations (FDEs) excel at modelling systems with long-range memory, but many such systems also exhibit stochastic behaviour. While existing neural differential equation models can capture either memory effects (Neural FDEs) or stochastic dynamics (Neural SDEs), a unified framework ... Read More
B. H. Doan, D. Jayasuriya, J. B. Lee, W. C. Lo, and J. J. Reeves:
In this paper we provide advances in the methodology of market neutral portfolio management through utilizing both backward and forward looking betas. Backward looking betas are computed from realized beta estimators with high frequency stock returns and forward looking betas ... Read More
U. Kurucak, V. K. Nanda, and B. Yayvak: Leniency Laws and Lucrative Trades: The Impact of Antitrust Policy on Insider Profits
We study the impact of antitrust enforcement on insiders' trading profits. The notion is that trading profits and product market collusion are related because collusion enhances insiders' informational advantage. Using staggered crosscountry adoption of leniency laws, we show stronger enforcement ... Read More
A. Capriotti and S. Muzzioli: A New Set of Model-Free Volatility and Asymmetry Indicators for the European Oil & Gas Market
This paper introduces, for the first time, model-free indicators of volatility and asymmetry specifically tailored to the STOXX Europe 600 Oil & Gas index. We evaluate the short- and medium-term predictive power of Implied Volatility (VOL), Upside and Downside Corridor ... Read More
M.Reiner and D. Worms: The Intermediary Channel of Monetary Policy
This paper investigates how monetary policy shocks propagate to asset prices via their impact on financial intermediaries. Based on high-frequency U.S. financial sector equity returns around FOMC announcements, we first document a striking reversal in the effects of monetary policy ... 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.