Expected Option Returns

By Joshua D. Coval, Tyler Shumway. 2001

762 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f1277c396cc57318f4873a7b39f1c4395f9885f4

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In Economics and Econometrics

1. Turan G. Bali
2. Liuren Wu
3. V. Todorov
4. Peter P. Carr
5. Tim Bollerslev
6. Amit Goyal
7. Xiaoyan Zhang
8. Andrew Ang

In Finance

1. V. Todorov
2. Liuren Wu
3. Tim Bollerslev
4. Turan G. Bali
5. Peter P. Carr
6. Peter F. Christoffersen
7. Kris Jacobs
8. Mikhail Chernov

Citations in the corpus

• The Cross-Section of Volatility and Expected Returns (2006, methodology): “To check robustness, we also estimate the cross-sectional price of aggregate volatility risk by using the Coval and Shumway (2001)STR factor in place ofFV IX in equation (7).”
• Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003, background): “1 Buraschi and Jackwerth (2001) and Coval and Shumway (2000) provide additional evidence on the possible existence of a non-zero volatility risk premium.”
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007, neutral): “[2, 9, 12], and portfolio managers would seek to trade volatility to take advantage of opportunity in variance risk premium, or to hedge against volatility risk.”
• Nominal price illusion (2016, background): “30 Buraschi and Jackwerth (2001), Coval and Shumway (2001), and Jones (2006) show that there are limits to arbitrage between options and stocks, and that options are not simply redundant assets.”
• Hedging volatility risk (2006, neutral): “Equation (7) describes the dynamics of an equity index t S with a stochastic volatility t σ .”
• Maximum Likelihood Estimation of Latent Affine Processes (2006, positive): “Second, the power utility pricing kernel is a useful performance measure that has been previously employed for assessing returns on options (Coval and Shumway, 2001) and on mutual funds (e.”
• Carry Trades and Global Foreign Exchange Volatility (2012, neutral): “23 Hence, we complement the analysis above by constructing a zero-beta straddle along the lines of Coval and Shumway (2002) based on our FX option data (described in Section III above).”
• Understanding Index Option Returns (2009, methodology): “This is one of the most common methods of risk correcting, as it has been used in the option pricing setting by Jackwerth (2000), Coval and Shumway (2001), Bondarenko (2003), Santa-Clara and Saretto (2005), and Driessen and Maenhout (2006).”
• The Skew Risk Premium in the Equity Index Market (2013, neutral): “Coval and Shumway (2001) and Bakshi and Kapadia (2003) look at holding returns on option positions – typically at-the-money (ATM) – that are delta neutral, and show that the average return is significantly negative.”
• Option Strategies: Good Deals and Margin Calls (2009, neutral): “— Letter from Victor Niederhoffer to investors in his hedge funds Bakshi and Kapadia (2003) and Coval and Shumway (2001) show that selling puts and selling straddles on the S&P 500 offer unusually high returns for their level of risk.1 For instance, Coval and Shumway show that shorting an…”