Mehdi Karoui

OMERS

200 Bay Street, Suite 2300

Toronto, Ontario M5J2J2

Canada

SCHOLARLY PAPERS

3

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2,383

SSRN CITATIONS
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Top 26,196

in Total Papers Citations

15

CROSSREF CITATIONS

20

Scholarly Papers (3)

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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
Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui
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 1,384 (20,344)
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
Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 601 (64,731)
Citation 8

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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 398 (106,424)

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