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Lottery and bubble stocks and the cross-section of option-implied tail risks
(Wiley-Blackwell, 2021-09-15)
The options smile provides forwardlooking information about the risk at thecenter of the distribution (ATMIV) and at the tails (Skew). We investigate thecrosssectional determinants of the options smile using indices ...
Role of derivatives market in attenuating underreaction to left-tail risk
(Wiley, 2023-12-25)
The anomalous negative relationship between left-tail risk measures and future returns has recently attracted the attention of finance researchers. We examine the role of the derivatives market in attenuating left-tail ...