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dc.contributor.authorLiu, Fang Ph.D
dc.date.accessioned2020-09-11T13:49:25Z
dc.date.available2020-09-11T13:49:25Z
dc.date.issued2017-11-01
dc.identifier.other11377988
dc.identifier.urihttps://hdl.handle.net/1813/71364
dc.description.abstractThe covariation of option-implied disaster concern of the market index and individual stocks allows me to estimate the conditional and systematic disaster concern of stocks with respect to the market. The estimated conditional and systematic disaster concern variables can be interpreted in terms of the risk-neutral conditional disaster probabilities, and they strongly predict future realizations of stock-level disasters and stock returns in different market states. This suggests that the comovement of option prices between stocks and the market index carries forward-looking information on their joint tail distributions.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: Copyright held by the author.
dc.subjectstock market
dc.subjectdisaster risk
dc.subjectmarket index
dc.subjectoption prices
dc.titleOption-Implied Systematic Disaster Concern
dc.typepreprint
dc.description.legacydownloadsFang6_Option.pdf: 65 downloads, before Aug. 1, 2020.
local.authorAffiliationLiu, Fang Ph.D: fl357@cornell.edu Cornell University School of Hotel Administration


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