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Unknown Unknowns: Uncertainty About Risk and Stock Returns

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Cited by:

  1. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
  2. Morten Risstad & Airin Thodesen & Kristian August Thune & Sjur Westgaard, 2023. "On the Exchange Rate Dynamics of the Norwegian Krone," JRFM, MDPI, vol. 16(7), pages 1-18, June.
  3. DeLisle, R. Jared & Diavatopoulos, Dean & Fodor, Andy & Kassa, Haimanot, 2022. "Variation in option implied volatility spread and future stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 152-160.
  4. Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
  5. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
  6. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  7. Krause, Timothy A., 2019. "Hedge fund returns and uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 597-601.
  8. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.
  9. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
  10. Chang Liu & Bowen Deng, 2023. "Is it really paid for sustainable development? The economic significance of firms' green practice," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 908-925, April.
  11. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Beta uncertainty," Journal of Banking & Finance, Elsevier, vol. 116(C).
  12. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs," SocArXiv ud7yw, Center for Open Science.
  13. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  14. Li, Wenhui & Ockenfels, Peter & Wilde, Christian, 2021. "The effect of ambiguity on price formation and trading behavior in financial markets," SAFE Working Paper Series 326, Leibniz Institute for Financial Research SAFE.
  15. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.
  16. Fenner, Richard G. & Han, Yufeng & Huang, Zhaodan, 2020. "Idiosyncratic volatility shocks, behavior bias, and cross-sectional stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 276-293.
  17. Ian Garrett & Adnan Gazi, 2024. "Early exercise, implied volatility spread and future stock return: Jumps bind them all," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 720-743, May.
  18. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  19. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  20. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
  21. Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
  22. Greppmair, Stefan & Jank, Stephan & Smajlbegovic, Esad, 2023. "On the importance of fiscal space: Evidence from short sellers during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 147(C).
  23. Lykourgos Alexiou & Leonidas S. Rompolis, 2022. "Option‐implied moments and the cross‐section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 668-691, April.
  24. Martin Wallmeier, 2024. "Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 854-875, May.
  25. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
  26. Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019. "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 162-178.
  27. Bali, Turan G. & Beckmeyer, Heiner & Moerke, Mathis & Weigert, Florian, 2021. "Option return predictability with machine learning and big data," CFR Working Papers 21-08, University of Cologne, Centre for Financial Research (CFR).
  28. Betton, Sandra & El Meslmani, Nabil & Switzer, Lorne N., 2022. "Volatility of implied volatility and mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 75(C).
  29. Opschoor, Anne & Lucas, André, 2023. "Time-varying variance and skewness in realized volatility measures," International Journal of Forecasting, Elsevier, vol. 39(2), pages 827-840.
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