TY  - UNPD
A1  - Vilkov, Grigory
A1  - Xiao, Yan
T1  - Option-implied information and predictability of extreme returns : [Version 28 Januar 2013]
T2  - SAFE working paper series ; No. 5
N2  - We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor that cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index.
T3  - SAFE working paper - 5 
KW  - extreme value theory
KW  - tail measure
KW  - implied correlation
KW  - variance risk premium
KW  - option-implied distribution
KW  - predictability
KW  - portfolio optimization
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/29374
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-293748
UR  - http://ssrn.com/abstract=2209654
IS  - Version 28 Januar 2013
EP  - 36
PB  - Goethe-Univ., House of Finance, Sustainable Architecture for Finance in Europe, SAFE
CY  - Frankfurt am Main
ER  -