Luiz F. F. Felix

APG Asset Management

Gustav Mahlerplein 3

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

5

DOWNLOADS

995

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (5)

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, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 366 (106,628)

Abstract:

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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, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 239 (166,676)
Citation 5

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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, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 235 (169,377)

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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: 43 Posted: 27 Jul 2017 Last Revised: 21 Sep 2020
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 155 (245,637)

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

5.

Strategic Bias and Popularity Effect in the Prediction of Economic Surprises

Forthcoming, Journal of Forecasting
Posted: 28 Jan 2021
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics

Abstract:

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Strategic bias, skewness, economic surprises, predictability, forecast error.