Idiosyncratic skewness, gambling preference, and cross-section of ... By using evidence of the pricing of idiosyncratic skewness (IS), which can represent gambling preferences, our paper finds that the Chinese stock market has a ... Bitcoin: New futures market allows investors to bet on volatile ... Dec 10, 2017 ... Bitcoin: New futures market allows investors to bet on volatile ... “You are going to open up the market to a whole lot of people who ..... and directional bets, not just long bets, J.J. Kinahan, chief market ... chief options strategist at Interactive Brokers Group Inc in Greenwich, ... Update newsletter preferences ...
VIX of VIX (VVIX) is a measure of the volatility of the Chicago Board Options Exchange (CBOE) Volatility Index (VIX). The CBOE VIX measures the short-term volatility of S&P 500 indexes, and VVIX ...
A Huge Options Trade Is Betting Markets Are Wrong on Fed ... There may be a new eurodollar whale in town. About $30 million has been plowed into an options bet that the market has gone too far in pricing in Federal Reserve cuts this year. Who Gambles in the Stock Market? - KUMAR - 2009 - The ... Angel Zhong, Idiosyncratic volatility in the Australian equity market, Pacific ... Gambling Preferences, Options Markets, and Volatility, Journal of Financial and Quantitative Analysis, 10.1017/S002210901600020X, 51, 2, (515-540), (2016). Crossref. Alok ... Capstone: the fund betting that market volatility has a ... Most asset classes have a vibrant options market that allow traders to punt on turbulence, and financial engineers have over the years churned out an array of “pure” volatility derivatives ...
Gambling Preference and the New Year Effect of Assets with ...
Thus, our results seem to indicate that gambling on the stock market at least ..... investors buy bankrupt stocks just as they buy call options. ... that the gambling preferences of a relatively less sophisticated retail investor clientele are, in .... idiosyncratic volatility that we find for our bankrupt firms simply reflects investors ... Making Sense of Low-Volatility Investing - Research Affiliates Jan 6, 2013 ... Why do low-volatility stocks outperform riskier ones over time? ... reviews the performance of low volatility strategies in up and down markets, ... Idiosyncratic skewness, gambling preference, and cross-section of ... By using evidence of the pricing of idiosyncratic skewness (IS), which can represent gambling preferences, our paper finds that the Chinese stock market has a ...
This study examines whether the gambling behavior of investors affects volume and volatil- ity in financial markets. Focusing on the options market, we find that ...
Gambling Preferences, Options Markets, and Volatility by ... Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble ... Gambling Preferences, Options Markets, and Volatility ... This study examines whether the gambling behavior of investors affects volume and volatility in financial markets. Focusing on the options market, we find that the ratio of call option volume ... Gambling preference and individual equity option returns ... Gambling preference and individual equity option ... of lottery-like options across high- and low-volatility risk periods. ... Gambling preferences, options markets, ... Gambling Preferences, Options Markets, and Volatility
Jul 18, 1977 ... equating options with gambling has resulted in extensive government regu lation .... stocks with listed options and options on active and volatile stocks that fail ...... However, it must be admitted that the preference for high-yield ...
Mar 27, 2019 · There may be a new eurodollar whale in town. About $30 million has been plowed into an options bet that the market has gone too far in pricing in Federal Reserve cuts this year. Betting on market volatility? Here's what you need to know Aug 04, 2017 · The CBOE Volatility Index, or VIX, is a key measure of market expectations of a near-term volatility conveyed by S&P 500 stock index option prices. The VIX, widely considered as a measure of fear Gambling preference and individual equity option returns "Gambling Preferences, Options Markets, and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(02), pages 515-540, April. Full references (including those not matched with items on IDEAS) Gambling Preference and the New Year Effect of Assets with
We find, consistent with recent theory, that total skewness exhibits a strong negative relationship with average option returns. Differences in average returns for option portfolios sorted on ex ante skewness range from 10% to 50% per week, even after controlling for risk.