dc.contributor.author | Agarwalla, Sobhesh Kumar | |
dc.contributor.author | Saurav, Sumit | |
dc.contributor.author | Varma, Jayanth R. | |
dc.date.accessioned | 2021-10-26T09:52:47Z | |
dc.date.available | 2021-10-26T09:52:47Z | |
dc.date.issued | 2021-09-15 | |
dc.identifier.citation | Agarwalla, 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.uri | https://doi.org/10.1002/fut.22263 | |
dc.identifier.uri | http://hdl.handle.net/11718/24467 | |
dc.description.abstract | 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 that capturefirm fundamental risks, heterogeneity in belief, lottery characteristics, andbubble characteristics. We find that atthemoney (ATM) volatility is explainedmainly by historical risks and predicted future risks measured usingaccountingbased risk measures and firm characteristics. However, the crosssectional 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 lotterylike and bubblelike characteristics. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Wiley-Blackwell | en_US |
dc.relation.ispartof | Journal of Futures Markets | en_US |
dc.subject | Bubble stocks | en_US |
dc.subject | Emerging markets | en_US |
dc.subject | Lottery stocks | en_US |
dc.subject | Volatility skew | en_US |
dc.subject | Volatility smile | en_US |
dc.title | Lottery and bubble stocks and the cross-section of option-implied tail risks | en_US |
dc.type | Article | en_US |