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A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model

Wallmeier, Martin ; Tauscher, Kathrin

(Working Papers SES ; 433)

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB) and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test portfolios and the factor portfolios SMB and HML are formed on the basis of size and B/M. This gives...

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Smile in Motion : An Intraday Analysis of Asymmetric Implied Volatility

Wallmeier, Martin

(Working Papers SES ; 427)

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock returns. It is based on an enhanced smile regression model which captures patterns in the intraday data which have not yet been reported in the literature. Using transaction data for exchange-traded EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011, we show...

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