UNIST-근로복지공단, 사회보험 사각지대 해소 함께 나서
2014년 11월 20일

Research Seminar(A smiling Bear in the Equity Options Market )

김배호-강사2

김배호-강사2

Baeho Kim
Associate Professor of Finance
Korea University

Date & Time: Friday, March 4th, 2016 at 14:00
Location: at BAB 601-3
Abstract: We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find that the average return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per month, which is both economically and statistically significant on a risk-adjusted basis. Our empirical findings indicate that informed options traders anticipating heavier tail risk proactively induce leptokurtic implied distributions of underlying stock returns before equity investors express their tail-risk aversion.