Niclas Robin Käfer
Last Name
Käfer
First name
Niclas Robin
Email
niclasrobin.kaefer@unisg.ch
Phone
+41 71 224 76 42
4 results
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Item type:Publication, A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options(2025-10-06); ; ; We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option return momentum, and jump risk emerging as the most likely included factors. Noteworthy, we find that (i) our results remain largely robust after controlling for transaction costs and (ii) characteristics linked to behavioral biases gain in importance for options with high retail trading volume.Type:journal articleJournal:Journal of Financial and Quantitative AnalysisScopus© Citations 1 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Option Factor Momentum(2025-04-10); ; We document significant time-series and cross-sectional momentum in 28 equity option factors. Factor momentum is distinct from a static factor portfolio, and prominent option factor models cannot fully explain its returns. Despite high autocorrelation, factor momentum profits are mainly driven by high and persistently different mean factor returns in case of longer formation periods. Option factor momentum fully subsumes option momentum, but not vice versa. Our findings are robust over time, across various market states, and for alternative momentum strategy constructions.Type:journal articleJournal:Journal of Financial and Quantitative Analysis - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Options on Drugs: Industry Exposure and Option Anomalies(2025)On average, writing options on pharmaceutical stocks yields higher returns than writing options on stocks in any other industry. The exposure to options on pharmaceuticals helps explain the persistent returns of delta-hedged option strategies, such as sorting options based on corporate cash holdings. Pharmaceutical stocks exhibit high growth potential and strong lottery features related to drug trials and development, leading to increased option demand and risk to option writing. Furthermore, the biotechnology bubble of the early 2000s inhibits common option risk factors from fully capturing the returns of pharmaceutical options.Type:working paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Recovering from Shocks: Term Structure Signalling in Commodity Markets *(2023-09-20);