Alexander Feser

Alexander Feser

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Feser

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Alexander

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+41 71 224 7004

Now showing 1 - 4 of 4

Option-Implied Value-at-Risk and the Cross-Section of Stock Returns

(Springer, 2019)
Ammann, Manuel
;
Feser, Alexander

Type: journal article

Journal: Review of Derivatives Research

Volume: 22

Issue: 3

URL: https://link.springer.com/article/10.1007/s11147-019-09154-z

DOI: 10.1007/s11147-019-09154-z

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/99064

Scopus© Citations 1
Robust Estimation of Risk-Neutral Moments

(Wiley-Blackwell, 2019)
Ammann, Manuel
;
Feser, Alexander

Type: journal article

Journal: Journal of Futures Markets

Volume: 39

Issue: 9

URL: https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22020?af=R

DOI: https://doi.org/10.1002/fut.22020

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/99065
Option-Implied Quantile Moments and the Puzzle of Skewness Pricing

( 2016-09-30)
Ammann, Manuel
;
Feser, Alexander

We show empirically that risk-neutral quantile skewness is priced differently depending on which portion of the risk-neutral distribution it is estimated from. Quantile skewness estimated from the tail (center) of the risk-neutral distribution is positively (negatively) related to future stock returns which explains contradicting results on the pricing of risk-neutral skewness in the literature. We argue that our results are consistent with ambiguity averse investors that avoid information from the extrapolated tail of the volatility surface. Quantile skewness is highly correlated with central skewness but more robust. We show in a simulation study that estimates of quantile skewness are accurate even if option prices only span a small domain, have large gaps between strikes, and are observed with noise.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/103874
Information Uncertainty and the Puzzle of Option-Implied Skewness

( 2017-03-31)
Ammann, Manuel
;
Feser, Alexander

We show empirically that option-implied quantile skewness is priced differently depending on which portion of the risk-neutral distribution it is estimated from: Quantile skewness estimated from the tail (center) of the risk-neutral distribution is positively (negatively) related to future stock returns. Our results are consistent with investors who rely on information from traded options and disregard information from the extrapolated volatility surface. Furthermore, we find that quantile skewness is highly correlated with central skewness but more robust. Estimates of quantile skewness are accurate even if option prices span a small domain, have large gaps between strikes, and are noisy.

Type: conference lecture

Journal: 20th ANNUAL CONFERENCE OF THE SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102505

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