A Nonlinear Factor Analysis of S&P 500 Index Option Returns

By Christopher S. Jones. 2006

180 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

On the challenges of learning with inference networks on sparse, high-dimensional data (2017, background): “The assumption of linearity has been relaxed in nonlinear factor analysis (NFA) (Gibson, 1960) and extended across a variety of domains such as economics (Jones, 2006), signal processing (Jutten & Karhunen, 2003), and machine learning (Valpola & Karhunen, 2002; Lawrence, 2003).”
Deep Learning for Predicting Asset Returns (2018, background): “…economics and ﬁnance, see Gal-lant and White (1988a,b); Hornik et al. (1989); Gallant and White (1992); Kuan and White (1994); Hutchinson et al. (1994); Lo (1994); Qi (1999); Jones (2006); Sirignano et al. (2016) and Heaton et al. (2017), deep learning is new to characteristic-based asset pricing.”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, unknown): “The main test hypothesis of this paper is a negative relation between option returns and the idiosyncratic 1 See, e.g., Buraschi and Jackwerth (2001), Coval and Shumway (2001), and Jones (2006).”
Understanding Index Option Returns (2009, unknown): “Most recently, Jones (2006) analyzes put returns, departing from the literature by considering daily option (as opposed to monthly) returns and a nonlinear multifactor model.”
Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, unknown): “Although the statistical return distribution for stock indexes is relatively symmetric, the risk-neutral distributions computed from option prices are highly negatively skewed (Jackwerth and Rubinstein, 1996; Bates, 2000; Foresi and Wu, 2005; Jones, 2006; Pan, 2002; and Bakshi, Kapadia, and Madan, 2”
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.”
Illiquidity Premia in the Equity Options Market (2018, methodology): “See Jones (2006) for a detailed analysis of returns on S&P500 index options.”
The Puzzle of Index Option Returns (2013, methodology): “consistent with the hypothesis C S H − . Table I shows the average returns of five call and five put portfolios with leverage-unadjusted returns. In the top panel, we follow our outlined procedure for extrapolating the prices of options that are in a portfolio but then disappear from the data. In th”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “Jones (2006) argues that multiple risk factors, besides the return on the underlying index, are priced.”