307 W Brooks
Norman, OK 73019
United States
University of Oklahoma
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
option-implied volatility; oil prices; volatility risk; cross-section; factor-mimicking portfolios; financial intermediaries
CDS, recovery rate, quadratic model, credit risk, default, tangible assets
option-implied volatility; commodity futures; cross-section of stocks; option-implied beta; mean-variance optimization.
Mean-Variance; Variance Risk Premia; Futures Return; Predictability; Crude Oil
FOMC Announcement, Implied Variance, Cross Section, Equity Returns
institutional investor holdings; 13(f) filings; mutual funds; mutual-fund performance
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: EUFM.pdf Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
13(f) filings, institutional investors, mutualāfund performance, mutual funds
Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes
State price density; macroeconomic indicators; crude oil; stock index.
Idiosyncratic volatility puzzle, Bayesian updating, asymmetric signal precision, firm underperformance