Mehdi Karoui

OMERS

200 Bay Street, Suite 2300

Toronto, Ontario M5J2J2

Canada

SCHOLARLY PAPERS

3

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2,367

SSRN CITATIONS
Rank 26,202

SSRN RANKINGS

Top 26,202

in Total Papers Citations

15

CROSSREF CITATIONS

20

Scholarly Papers (3)

1.

Illiquidity Premia in the Equity Options Market

Review of Financial Studies
Number of pages: 72 Posted: 15 Mar 2011 Last Revised: 22 Sep 2017
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 1,378 (20,110)
Citation 29

Abstract:

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Illiquidity; equity options; cross-section; delta-hedged option returns

2.

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Rotman School of Management Working Paper No. 2656412
Number of pages: 51 Posted: 06 Sep 2015 Last Revised: 14 Oct 2017
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 595 (64,447)
Citation 8

Abstract:

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Co-skewness, co-kurtosis, risk premia, options, cross-section, out-of-sample

3.

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Number of pages: 43 Posted: 27 Sep 2011 Last Revised: 20 Jan 2012
Mehdi Karoui
OMERS
Downloads 394 (105,929)

Abstract:

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implied risk premia, equity premium, predictability, cross-section, incomplete market, conditional CAPM