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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 ...
Beleif distortion near 52W high and low: evidence from Indian equity options market
(Wiley, 2023-06-28)
We examine investors' behavioral biases and preferences in the options market near 52-week high and low (52W-H/L) using Indian options market data. We document that as the stock price approaches 52W high (low), the skewness ...
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 ...