Stock Options as Lotteries

By Brian H. Boyer, Keith P. Vorkink. 2014

223 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3f59a96cc436ee0febc11811a286afbe566f4410

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Citations in the corpus

Psychology-based Models of Asset Prices and Trading Volume (2018, background): “36See Mitton and Vorkink (2010), Boyer and Vorkink (2014), Conrad et al. (2014), and Eraker and Ready (2015) on conglomerate firms, stock options, distressed stocks, and stocks traded off-exchange, respectively.”
Nominal price illusion (2016, background): “Ghysels (2013), and Boyer and Vorkink (2014) find that RNSkew is negatively”
Religion, Gambling Attitudes and Corporate Innovation (2016, background): “Second, since the value of an option increases with the volatility and skewness of the underlying asset (see, e.g., Boyer and Vorkink (2014)), higher Vega further incentivizes managers to pursue risky polices with positively-skewed payoffs, such as R&D. Consistent with this argument, experimental…”
Social Transmission Bias and Investor Behavior (2021, background): “In Brunnermeier and Parker (2005), agents who optimize over beliefs prefer skewed payoff distributions.”
The Skewness of Commodity Futures Returns (2018, unknown): “number of theoretical and empirical articles argue for a negative relation between skewness and expected returns (e.g., Harvey and Siddique, 2000; Mitton and Vorkink, 2007; Adrian and Rosenberg, 2008; Barberis and Huang, 2008; Kumar, 2009; Boyer, Mitton and Vorkink, 2010; Bali et al., 2011; Chang et”
Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field (2018, unknown): “Boyer and Vorkink (2014) and Li, Subrahmanyam, and Yang (2018) find similar results for equity options.”
Prospect Theory and Stock Returns: An Empirical Test (2016, background): “By contrast, in our framework, investors (2)For further discussion of these applications, see Mitton and Vorkink (2007), Boyer, Mitton, and Vorkink (2010), Ilmanen (2012), Boyer and Vorkink (2014), and Eraker and Ready (2015).”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, unknown): “The IVOL coefficient estimate is now 0.0822 (Model 2), compared with 0.0373 (Model 1) without controlling for the Goyal and Saretto variable.13 Thus, volatilityrelated mispricing shown by Goyal and Saretto (2009) exacerbates instead of explains our result.”