Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/24467
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dc.contributor.authorAgarwalla, Sobhesh Kumar
dc.contributor.authorSaurav, Sumit
dc.contributor.authorVarma, Jayanth R.
dc.date.accessioned2021-10-26T09:52:47Z
dc.date.available2021-10-26T09:52:47Z
dc.date.issued2021-09-15
dc.identifier.citationAgarwalla, S. K., Saurav, S., & Varma, J. R. Lottery and bubble stocks and the cross‐section of option‐implied tail risks. Journal of Futures Markets.en_US
dc.identifier.urihttps://doi.org/10.1002/fut.22263
dc.identifier.urihttp://hdl.handle.net/11718/24467
dc.description.abstractThe options smile provides forwardlooking information about the risk at thecenter of the distribution (ATMIV) and at the tails (Skew). We investigate thecrosssectional determinants of the options smile using indices that capturefirm fundamental risks, heterogeneity in belief, lottery characteristics, andbubble characteristics. We find that atthemoney (ATM) volatility is explainedmainly by historical risks and predicted future risks measured usingaccountingbased risk measures and firm characteristics. However, the crosssectional variation in the skew is driven by risk premia and by buying andselling pressure, which is influenced by heterogeneity in belief and the un-derlying's lotterylike and bubblelike characteristics.en_US
dc.language.isoenen_US
dc.publisherWiley-Blackwellen_US
dc.relation.ispartofJournal of Futures Marketsen_US
dc.subjectBubble stocksen_US
dc.subjectEmerging marketsen_US
dc.subjectLottery stocksen_US
dc.subjectVolatility skewen_US
dc.subjectVolatility smileen_US
dc.titleLottery and bubble stocks and the cross-section of option-implied tail risksen_US
dc.typeArticleen_US
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