Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9501
DC FieldValueLanguage
dc.contributor.authorAndreou, Panayiotis-
dc.date.accessioned2017-02-06T12:10:00Z-
dc.date.available2017-02-06T12:10:00Z-
dc.date.issued2015-12-02-
dc.identifier.citationQuantitative Finance, 2015, vol. 15, no. 12, pp. 2021-2040.en_US
dc.identifier.issn14697688-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/9501-
dc.description.abstractWe investigate the relative importance of market default risk in explaining the time variation of the S&P 500 Index option-implied risk-neutral moments. The results demonstrate that market default risk is positively (negatively) related to the index risk-neutral volatility and skewness (kurtosis). These relations are robust in the presence of other factors relevant to the dynamics and microstructure nature of the spot and option markets. Overall, this study sheds light on a set of economic determinants which help to understand the daily evolution of the S&P 500 Index option-implied risk-neutral distributions. Our findings offer explanations of why theoretical predictions of option pricing models are not consistent with what is observed in practice and provide support that market default risk is important to asset pricing.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofQuantitative financeen_US
dc.rights© Taylor & Francis.en_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectImplied volatility smirken_US
dc.subjectMarket default risken_US
dc.subjectMarket leverageen_US
dc.subjectRisk-neutral momentsen_US
dc.titleEffects of market default risk on index option risk-neutral momentsen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsOpen Accessen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1080/14697688.2014.1000367en_US
dc.relation.issue12en_US
dc.relation.volume15en_US
cut.common.academicyear2014-2015en_US
dc.identifier.spage2021en_US
dc.identifier.epage2040en_US
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.fulltextNo Fulltext-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5742-0311-
crisitem.author.parentorgFaculty of Management and Economics-
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