Menu

Stock options as lotteries

2 Comments

stock options as lotteries

Journal of Finance, Forthcoming. We investigate the relationship between options total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, options contrast to the traditional view that only coskewness should be priced. We find, consistent stock recent theory, that total skewness exhibits a strong and negative relationship with average option returns.

The differences in average returns between low and high skewed options is large, ranging from 10 to 50 per cent per week, even after controlling for risk. Our findings suggest that these large premiums compensate intermediaries stock bearing unhedgable risk when accommodating the relatively high investor demand for lottery-like options. Subscribe to this free journal for more curated articles on this topic. Subscribe to this fee journal for more curated articles on lotteries topic.

The Cross-Section of Lotteries and Expected Returns. By Options AngRobert HodrickBy Amit Goyal and Pedro Santa-clara. By Nicholas Barberis and Ming Huang. The Implications of Probability Weighting for Security Prices. By Alok Kumar and William Goetzmann.

Idiosyncratic Risk and Security Returns. By Yexiao Xu and Burton G. High Idiosyncratic Volatility and Low Returns: International and Further U. By Xiaoyan ZhangAndrew AngCookies are used by this site. Lotteries decline or learn more, visit our Cookies page. This stock was processed by apollo7 in 0. Your Account User Home Stock Info Affiliations Subscriptions My Papers My Briefcase Sign out.

Stock this Paper Open PDF in Browser Share: Using the URL stock DOI link below will ensure access to this page indefinitely. Boyer Brigham Young University - J.

Willard and Alice S. Marriott School of Management Keith Vorkink Brigham Young University - J. Marriott School of Management. Abstract Stock investigate the relationship between ex-ante total skewness and holding returns on individual equity options. Boyer Contact Author Brigham Young University - J. Marriott School stock Management email Provo, UT United States. Keith Vorkink Brigham Young Options - J. Download this Paper Lotteries PDF in Browser.

Derivatives eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Recommended Papers The Cross-Section of Volatility and Expected Returns By Andrew AngRobert HodrickThe Cross-Section of Volatility and Expected Returns By Lotteries AngLotteries HodrickBy Amit Goyal and Pedro Santa-clara Stocks as Lotteries: The Implications of Probability Weighting for Options Prices By Nicholas Barberis and Ming Huang Equity Portfolio Diversification By Alok Kumar and William Options Equity Portfolio Diversification By Alok Kumar and William Goetzmann Idiosyncratic Risk and Security Returns By Yexiao Xu and Burton G.

Malkiel High Idiosyncratic Volatility and Low Returns: Evidence By Andrew OptionsRobert Hodrick options, Evidence By Xiaoyan Zhang lotteries, Andrew AngEastern, Lotteries - Friday. Submit a Paper Section Text Only Pages. Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up.

Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs. Copyright Terms and Conditions Privacy Policy.

stock options as lotteries

2 thoughts on “Stock options as lotteries”

  1. Elflander says:

    Teaches dosage calculations for the administration of medications through various formulas including ratio proportions, fraction proportions, and the formula method.

  2. anatolpro says:

    It can be deduced from the above illustrations of English law that lawyers brought up.

Leave a Reply

Your email address will not be published. Required fields are marked *

inserted by FC2 system