The Joint Cross Section of Stocks and Options

By Byeong-Je An, Andrew Ang, Turan G. Bali, Nusret Cakici. 2013

314 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fc49a5874707d54f9a1e0fe32e77a8ae1c3aa2a1

Citations in the corpus

• What Is the Expected Return on a Stock? (2019, unknown): “An et al. (2014) find that increases in implied volatilities of at-the-money call and put options have opposing implications, predicting high and low subsequent stock returns, respectively.”
• Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013, unknown): “(2010), Bali and Hovakimian (2009), Ang et al. (2010),”
• Low‐Risk Anomalies? (2020, unknown): “Hence, differences in their results are likely to reflect the finding of An et al. (2014) that changes implied volatilities (IVs) of call options and put options have a differential impact on stock returns.”
• ... and the Cross-Section of Expected Returns (2013, unknown): “For example, we include four versions of idiosyncratic volatility, that is, Fama and MacBeth (1973), Ali, Hwang, and Trombley (2003), Ang et al. (2006), and Fu (2009).”