Jump risk, stock returns, and slope of implied volatility smile

By Shu Yan. 2011

184 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Crash Risk and the Auditor-Client Relationship (2017, methodology): “(6) Following prior research (Bollen and Whaley 2004; Xing et al. 2010; Yan 2011; Kim and Zhang 2014), we measure Ex Ante CrashRisk by the option-implied volatility smirk (IV_SMIRK), defined as the difference between the implied volatilities of OTM put options with a delta value between −0.375 and…”
Does corporate eco-innovation affect stock price crash risk? (2021, background): “Similarly, even at the organisational level, stock price crash risk is considered to be a key determinant of expected return (Conrad, Dittmar, & Ghysels, 2013; Yan, 2011).”
Accruals and price crashes (2016, background): “Jiang et al. (2010) and Chava and Purnanandam (2010) show that the incentive ratio”
Corporate Political Connections and Tax Aggressiveness (2013, unknown): “In fact, a growing body of asset pricing literature shows that equity investors also care about downside risk and can value the lower downside risk brought about by political connections (e.g., Ang et al. 2006; Conrad et al. 2013; Santa-Clara and Yan 2010; Yan 2011).”