Mehdi Karoui

OMERS

200 Bay Street, Suite 2300

Toronto, Ontario M5J2J2

Canada

SCHOLARLY PAPERS

3

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2,131

SSRN CITATIONS
Rank 29,004

SSRN RANKINGS

Top 29,004

in Total Papers Citations

4

CROSSREF CITATIONS

19

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 1,271 (15,487)
Citation 20

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 484 (59,216)
Citation 5

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 376 (80,052)

Abstract:

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