In: Journal of Behavioral Finance, 2020, vol. 21, no. 1, p. 78-102
Structured equity-linked products hold a strong position in the asset universe in Europe although they are often considered to be overly complex. Their risk and return profi le is typically presented by simple payoff diagrams and verbal descriptions. We propose to complement the payoff diagrams with information on the payoff's probability distribution and study different presentation formats...
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In: Financial Markets and Portfolio Management, 2005, vol. 19, no. 2, p. 131-151
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(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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(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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