What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?

2010 ◽  
Vol 45 (3) ◽  
pp. 641-662 ◽  
Author(s):  
Yuhang Xing ◽  
Xiaoyan Zhang ◽  
Rui Zhao
Keyword(s):  
Predictive Power ◽  
Equity Market ◽  
Equity Returns ◽  
Cross Sectional ◽  
Put Options ◽  
Negative News ◽  
Informed Traders ◽  
The Individual

AbstractThe shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Stocks exhibiting the steepest smirks in their traded options underperform stocks with the least pronounced volatility smirks in their options by 10.9% per year on a risk-adjusted basis. This predictability persists for at least 6 months, and firms with the steepest volatility smirks are those experiencing the worst earnings shocks in the following quarter. The results are consistent with the notion that informed traders with negative news prefer to trade out-of-the-money put options, and that the equity market is slow in incorporating the information embedded in volatility smirks.

Going European from American: does style matter?

2017 ◽  
Vol 43 (4) ◽  
pp. 471-487 ◽  
Author(s):  
Rajesh Pathak ◽  
Satish Kumar ◽  
Ranajee Ranajee
Keyword(s):  
Stock Returns ◽  
Stock Options ◽  
Equity Returns ◽  
European Options ◽  
Cross Sectional ◽  
Content Type ◽  
Put Options ◽  
Portfolio Approach ◽  
Systematic Risk Factors ◽  
Practical Implications

Purpose The purpose of this paper is to examine the cross-sectional predictive power and the information content of volatility smirks for future stock returns using single stock options. Design/methodology/approach The study uses Fama-Macbeth procedure and portfolio approach to investigate the predictability and informativeness in a setup when options settlement style is changed from American to European. Findings The study reports that the volatility smirk of European style options, unlike American style options, predict the underlying cross-sectional equity returns. Firms with steepest volatility smirk underperform firms with flatter volatility smirks, by an average of 3.28 and 4.01 per cent annually for American and European options, respectively. The results are robust to the control of idiosyncratic and systematic risk factors. Practical implications The results confirm that a trader with negative information prefers to trade out-of-the-money put options. The more pronounced results of European options designate the trader’s preference to less risky European style stock options. Results are robust and signify the delay of equity market in incorporating information impounded in the volatility smirk. Originality/value Very few studies examine smirk and returns relationship and to the best of the authors’ knowledge, no study exists that examine the unique case of change in options style and its role in affecting relationship between smirk and future returns.

scholarly journals Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets

2015 ◽  
Vol 50 (3) ◽  
pp. 543-567 ◽  
Author(s):  
Jens Hilscher ◽  
Joshua M. Pollet ◽  
Mungo Wilson
Keyword(s):  
Credit Default Swap ◽  
Credit Default Swaps ◽  
Equity Market ◽  
Equity Returns ◽  
Information Flows ◽  
Market Selection ◽  
Credit Default ◽  
Investor Inattention ◽  
Informed Traders ◽  
Default Swap

AbstractThis article provides evidence that equity returns lead credit protection returns at daily and weekly frequencies, whereas credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are consistent with standard theories of market selection by informed traders in which market selection is determined partially by transaction costs. We also find that credit protection returns respond more quickly during salient news events (earnings announcements) compared to days with similar equity returns and turnover. This evidence provides support for explanations related to investor inattention.

scholarly journals New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section

Econometrics ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 19
Author(s):  
Bo Yu ◽  
Bruce Mizrach ◽  
Norman R. Swanson
Keyword(s):  
Cross Section ◽  
High Probability ◽  
Predictive Power ◽  
Equity Returns ◽  
Stock Selection ◽  
Cross Sectional ◽  
Related Information ◽  
Large Jump ◽  
Predictive Content ◽  
New Evidence

We investigate the marginal predictive content of small versus large jump variation, when forecasting one-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation leads to greater value-weighted return differentials between stocks in our highest- and lowest-quintile portfolios (i.e., high–low spreads) than when either signed total jump or signed large jump variation is sorted on. It is shown that the benefit of signed small jump variation investing is driven by stock selection within an industry, rather than industry bets. Investors prefer stocks with a high probability of having positive jumps, but they also tend to overweight safer industries. Also, consistent with the findings in Scaillet et al. (2018), upside (downside) jump variation negatively (positively) predicts future returns. However, signed (large/small/total) jump variation has stronger predictive power than both upside and downside jump variation. One reason large and small (signed) jump variation have differing marginal predictive contents is that the predictive content of signed large jump variation is negligible when controlling for either signed total jump variation or realized skewness. By contrast, signed small jump variation has unique information for predicting future returns, even when controlling for these variables. By analyzing earnings announcement surprises, we find that large jumps are closely associated with “big” news. However, while such news-related information is embedded in large jump variation, the information is generally short-lived, and dissipates too quickly to provide marginal predictive content for subsequent weekly returns. Finally, we find that small jumps are more likely to be diversified away than large jumps and tend to be more closely associated with idiosyncratic risks. This indicates that small jumps are more likely to be driven by liquidity conditions and trading activity.

Health Status of Senior Citizens: A Cross-sectional study

2020 ◽  
Vol 11 (01) ◽  
Author(s):  
Priyanka Beniwal ◽  
Chandrakala Singh
Keyword(s):  
Health Status ◽  
Senior Citizens ◽  
Total Sample ◽  
Cross Sectional Study ◽  
Age Group ◽  
Poor Health Status ◽  
Cross Sectional ◽  
Males And Females ◽  
The Individual ◽  
Average Health

Aging is a series of processes that begin with life and continue throughout the lifecycle. It represents the closing period in the lifespan, a time when the individual looks back on life, lives on past accomplishments and begins to finish off his life course. It represents the accumulation of changes in person over time. The study aims to investigate the health status of senior citizens. The present study was carried out in Hisar and Sirsa district of Haryana state. A total of 400 elderly equally representing both males and females of age group 65-70 years were selected randomly for the study. Modified inventory developed by Khan and Lal (2011) was used to assess health status of senior citizens. The results of the study elucidated that health status of senior citizens depicted that 54.25 per cent of the total respondents had average health status followed by good (25.25%) and poor health status (20.50%). The most common health problems reported by the senior citizens were joint pains, back pains, blood pressure, and chest pain etc. Gender wise comparison of total sample further pointed out that females were poor in their health against males.

A cross-sectional survey among physicians on Internet use for epilepsy-related information (Preprint)

2019 ◽  
Author(s):  
Francesco Brigo ◽  
Simona Lattanzi ◽  
Giorgia Giussani ◽  
Laura Tassi ◽  
Nicola Pietrafusa ◽  
...  
Keyword(s):  
Internet Use ◽  
The Internet ◽  
Online Information ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
Related Information ◽  
Internet Users ◽  
Therapeutic Decisions ◽  
The Individual ◽  
The Web

BACKGROUND The Internet has become one of the most important sources of health information, accessed daily by an ever-growing number of both patients and physicians, seeking medical advice and clinical guidance. A deeper insight into the current use of the Web as source of information on epilepsy would help in clarifying the individual attitude towards this medium by Internet users. OBJECTIVE We investigated views towards the Internet in a sample of Italian healthcare specialists involved in epilepsy field, to explore factors which explained the influence of information found on the internet. METHODS This study was a self-administered survey conducted in a group of members of the Italian Chapter of the International League Against Epilepsy (ILAE) in January 2018. RESULTS 184 questionnaires were analyzed. 97.8% of responders reported to seek online information on epilepsy. The Internet was most frequently searched to obtain new information (69.9%) or to confirm a diagnostic or therapeutic decision (37.3%). The influence of consulting the Internet on clinical practice was associated with registration to social network(s) (OR: 2.94; 95%CI: 1.28-6.76; p=0.011), higher frequency of Internet use (OR: 3.66; 95%CI: 1.56-9.21; p=0.006) and higher confidence in reliability of online information (OR: 2.61; 95%CI: 1.09-6.26; p=0.031). No association was found with age, sex, years in epilepsy practice or easiness to find online information. CONCLUSIONS Internet is frequently used among healthcare professionals involved in the epilepsy to obtain information about this disease. The attitude of being influenced by the Internet for diagnostic and/or therapeutic decisions in epilepsy is independent on age and years of experience in epilepsy, and probably reflects an individual approach towards the Web.

scholarly journals The trends of complementary alternative medicine use among cancer patients

2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Abdul Rahman Jazieh ◽  
Khadega A. Abuelgasim ◽  
Husam I. Ardah ◽  
Mohammad Alkaiyat ◽  
Omar B. Da’ar
Keyword(s):  
Alternative Medicine ◽  
Cancer Patients ◽  
Clinical Information ◽  
Cross Sectional Study ◽  
Complementary Alternative Medicine ◽  
Cultural Changes ◽  
Cross Sectional ◽  
Patients With Cancer ◽  
Cam Use ◽  
The Individual

Abstract Background The use of complementary and alternative medicine (CAM) is common among cancer patients and it may reflect the individual and societal beliefs on cancer therapy. Our study aimed to evaluate the trends of CAM use among patients with cancer between 2006 and 2018. Methods We included 2 Cohorts of patients with cancer who were recruited for Cohort 1 between 2006 and 2008 and for Cohort 2 between 2016 and 2018. The study is a cross-sectional study obtaining demographic and clinical information and inquiring about the types of CAM used, the reasons to use them and the perceived benefits. We compared the changes in the patterns of CAM use and other variables between the two cohorts. Results A total of 1416 patients were included in the study, with 464 patients in Cohort 1 and 952 patients in Cohort 2. Patients in Cohort 2 used less CAM (78.9%) than Cohort 1 (96.8%). Cohort 1 was more likely to use CAM to treat cancer compared to Cohort 2 (84.4% vs. 73%, respectively, p < 0.0001,); while Cohort 2 used CAM for symptom management such as pain control and improving appetite among others. Disclosure of CAM use did not change significantly over time and remains low (31.6% in Cohort 1 and 35.7% for Cohort 2). However, physicians were more likely to express an opposing opinion against CAM use in Cohort 2 compared to Cohort 1 (48.7% vs. 19.1%, p < 0.001, respectively). Conclusion There is a significant change in CAM use among cancer patients over the decade, which reflects major societal and cultural changes in this population. Further studies and interventions are needed to improve the disclosure to physicians and to improve other aspects of care to these patients.

Prevalence and distribution of causes of infertility according to women’s age – a cross-sectional study in a tertiary healthcare hospital setup

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Keerthana Dhandapani ◽  
Bhagyalakshmi Kodavanji ◽  
Vinodini Nithyananda Madom Anantharaya ◽  
Nayanatara Arun Kumar
Keyword(s):  
Tertiary Care ◽  
Developed Countries ◽  
Cross Sectional Study ◽  
Female Infertility ◽  
Secondary Infertility ◽  
Cross Sectional ◽  
Female Population ◽  
Infertile Women ◽  
Tertiary Healthcare ◽  
The Individual

Abstract Objectives Infertility has disastrous consequences, particularly for women. Causes of infertility in developed countries have been investigated but there is a significant lack of data among Indian female population. The aim of the present study was to analyze the causes and the proportion of the individual factors contributing to infertility, considering the age factor. Methods The data of 204 infertile women (18–45 years) were collected from the files in tertiary care hospitals. Causes and age of infertile women were grouped. The prevalence of each cause was evaluated. Data analysis was done using SPSS (Statistical Package for Social Sciences) version 17.0. Results Polycystic ovarian syndrome (PCOS) was the most common (14.71%) cause of female infertility. Ovulatory dysfunctions (25.55%) were the foremost cause in primary infertility, whereas in secondary infertility, uterine factors (26.86%) were most common. The incidence of primary and secondary infertility was more evident in patients who were more than 30 years of age. Conclusions Causes of infertility vary according to the age. The causes of female infertility were unexplained infertility, ovulatory disorders and uterine factors most commonly affecting women at ≤30 years.

scholarly journals Understanding Food Waste, Food Insecurity, and the Gap between the Two: A Nationwide Cross-Sectional Study in Saudi Arabia

Foods ◽  
2021 ◽  
Vol 10 (3) ◽  
pp. 681
Author(s):  
Nora A. Althumiri ◽  
Mada H. Basyouni ◽  
Ali F. Duhaim ◽  
Norah AlMousa ◽  
Mohammed F. AlJuwaysim ◽  
...  
Keyword(s):  
Saudi Arabia ◽  
Food Insecurity ◽  
Food Waste ◽  
Cross Sectional ◽  
Household Level ◽  
Individual Level ◽  
Factors Associated ◽  
Household Factors ◽  
Cooked Food ◽  
The Individual

Background: Food waste and food insecurity may co-exist in various balances in developing and developed countries. This study aimed to explore the levels of food waste and food insecurity, the factors associated with them, and their relationships at the household and individual levels in Saudi Arabia. Methods: This study was a nationwide cross-sectional survey conducted via computer-assisted phone interviews in January 2021. Quota sampling was utilized to generate balanced distributions of participants by gender across all the administrative regions of Saudi Arabia. Data collection included household demographics, food waste and disposal, the Food Insecurity Experience Scale (FIES), and the Household Food Insecurity Access Scale (HFIAS). Results: Out of the 2807 potential participants contacted, 2454 (87.4%) completed the interview. The mean age was 31.4 (SD = 11.7; range = 18–99) and 50.1% were female. The weighted prevalence of uncooked food waste in the last four weeks was 63.6% and the cooked food waste was 74.4%. However, the food insecurity weighted prevalence at the individual level (FIES) was 6.8%. In terms of food insecurity at the household level (HFIAS), 13.3% were in the “severely food insecure” category. Moreover, this study found that “moderately food insecure” households were associated with an increased likelihood to waste uncooked food (relative risk (RR) = 1.25), and the “mildly food insecure” (RR = 1.21) and “moderately food insecure” (RR = 1.17) households were associated with an increased likelihood to waste cooked food. However, “food secure” households were associated with a decreased likelihood to waste cooked food (RR = 0.56). Finally, this study identified four household factors associated with food waste and three household factors that were associated with “severe food insecurity.” Conclusions: This first national coverage study to explore food waste and food insecurity at the individual level and household level, identified household factors associated with food waste and food insecurity and identified new associations between food waste and food insecurity in Saudi Arabia. The associations found between food waste and food insecurity are potential areas of intervention to reduce both food waste and food insecurity at the same time, toward achieving the Sustainable Development Goal (SDG) targets related to food waste and food security.

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