Luiz F. F. Felix

APG Asset Management

Gustav Mahlerplein 3

Amsterdam, 1082 MS

Netherlands

  • APG Asset Management

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

Implied Volatility Sentiment: A Tale of Two Tails

Revised version: Forthcoming, Quantitative Finance. This version: Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 54 Posted: 17 Jan 2017 Last Revised: 03 Dec 2019
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 328 (98,290)

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Sentiment, implied volatility skew, equity-risk premium, reversals, predictability, momentum crashes

2.

The 2011 European Short Sale Ban: A Cure or a Curse?

Journal of Financial Stability, Vol. 25, 2016
Number of pages: 43 Posted: 09 Feb 2013 Last Revised: 12 Jan 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 223 (146,959)
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Short sale ban; jump risk; risk-neutral density; implied volatility skew; contagion risk

3.

Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment

Forthcoming in Journal of Behavioral Finance
Number of pages: 38 Posted: 07 Apr 2016 Last Revised: 05 Aug 2018
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 221 (148,235)

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Cumulative prospect theory; investor sentiment; risk-neutral densities; call options

4.

Predictable Biases in Macroeconomic Forecasts and Their Impact Across Asset Classes

Number of pages: 48 Posted: 27 Jul 2017 Last Revised: 22 Nov 2018
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 127 (240,295)

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Anchoring; Rational Bias; Economic Surprises; Predictability; Stocks, Bonds; Currencies; Commodities; Machine learning