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Asset Pricing in the Stock and Options Markets

Posted on:2011-01-08Degree:Ph.DType:Thesis
University:McGill University (Canada)Candidate:Vasquez, AurelioFull Text:PDF
GTID:2449390002966921Subject:Economics
Abstract/Summary:
This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns.
Keywords/Search Tags:Stock and options markets, Asset pricing, Essay finds, Negative relation, Stock returns
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