Niclas Robin Käfer

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Käfer
First name
Niclas Robin
Email
niclasrobin.kaefer@unisg.ch
Phone
+41 71 224 76 42

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    Item type:Publication,
    Options on Drugs: Industry Exposure and Option Anomalies
    (2025)
    Niclas Robin Käfer  
    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
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/123618
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    Recovering from Shocks: Term Structure Signalling in Commodity Markets *
    (2023-09-20)
    Adams, Zeno  
    ;
    Burdorf, Tom
    ;
    Käfer, Niclas  
    We examine the behaviour of commodity term structures following economic shocks. The response of the futures curve in deferred, relative to front-month futures contracts, reflects market expectations about the type, magnitude, and persistence of a shock. Our novel measure, the term structure ratio, shows that market expectations have predictive power regarding the recovery time after a shock. The term structure ratio is related to a number of existing measures in the literature, including basis and basis momentum, but captures sufficient variation.
    Type:working paper
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/118165