1,720,983 research outputs found
Option-implied Data and Analysis
No full textThe project contains the links to a number of my data collections for a set of articles, all of which use equity options to extract useful information about the future markets. The data include implied and realized equicorrelations for the SP500 index, model-free implied skewness, log and simple variances for all the stocks in OptionMetrics Surface Files, option-implied betas for SP500 stocks, generalized lower bounds for the expected excess simple returns
0DTE Trading
No full textData for computing the prices, payoffs, and various performance metrics for static trading strategies based on 0DTE SPX options. The results are presented in a working paper available under
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=464135
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Risk-Neutral Skewness: Return Predictability and Its Sources
No full textPaper link: http://dx.doi.org/10.2139/ssrn.1301648 Abstract: Using data on individual stock options, we show that the currently observed option-implied ex ante skewness is positively related to future stock returns. This contrasts with the existing evidence that uses historical stock or option data to estimate skewness and finds a negative skewness-return relation. We proxy for the ex ante skewness by using the model-free implied skewness (MFIS) and show that high MFIS stocks outperform low MFIS stocks by 45 basis points per month after correcting for systematic exposure. We find that the positive MFIS-return relation stems from the ability of the current MFIS to identify the deviation of a firm’s value from its fundamental value, and the most overvalued stocks have the most negative ex ante skewness. We further find that the speed of the value correction process depends on the arbitrage risk faced by arbitrageurs trying to exploit the observed inefficiencies. Our results have implications for the segmentation of equity and options markets as well as for limits of arbitrage in equity markets
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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