https://scholars.lib.ntu.edu.tw/handle/123456789/414486
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chen T.-F. | en_US |
dc.contributor.author | Chung S.-L. | en_US |
dc.contributor.author | Tsai W.-C. | en_US |
dc.creator | Tsai W.-C.;Chung S.-L.;Chen T.-F. | - |
dc.date.accessioned | 2019-07-22T08:42:14Z | - |
dc.date.available | 2019-07-22T08:42:14Z | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 0015198X | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414486 | - |
dc.description.abstract | In our study, we take advantage of the forward-looking nature of information in option prices to estimate systematic equity risk while controlling for the effect of idiosyncratic skewness. Empirical results show a significantly positive relationship between the option-implied beta estimate and subsequent stock returns. A long-short portfolio based on our beta estimate earned an average monthly return of 0.96%. We also find that the option-implied beta predicts future realized betas and that the risk premium on the option-implied beta is positively associated with future market returns and contains information about future macroeconomic variables. ? 2016 CFA Institute. All rights reserved. | - |
dc.language | English | - |
dc.relation.ispartof | Financial Analysts Journal | - |
dc.title | Option-implied equity risk and the cross section of stock returns | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.2469/faj.v72.n6.2 | - |
dc.identifier.scopus | 2-s2.0-84998996889 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84998996889&doi=10.2469%2ffaj.v72.n6.2&partnerID=40&md5=bdbf7fdaa42ccf771d2a101683fb3ec6 | - |
dc.relation.pages | 42-55 | - |
dc.relation.journalvolume | 72 | - |
dc.relation.journalissue | 6 | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | FinTech Center | - |
crisitem.author.orcid | 0000-0002-8168-4816 | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
顯示於: | 財務金融學系 |
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