Details
| Original language | English |
|---|---|
| Pages (from-to) | 20-35 |
| Number of pages | 16 |
| Journal | Journal of Banking and Finance |
| Volume | 105 |
| Early online date | 3 May 2019 |
| Publication status | Published - Aug 2019 |
Abstract
In this paper, we study the asset pricing implications of persistence in the risk-neutral return distribution's central moments. We detect a both economically and statistically significant premium of stocks with low over stocks with high such persistence. Annual value-weighted excess (risk-adjusted) returns are 4.38% (3.06%). These results cannot be explained by factors and characteristics documented in the previous literature. Furthermore, it is not the persistence of only one of the individual distributional moments but rather the joint persistence in all central moments of the risk-neutral distribution that is priced.
Keywords
- Option-implied central moments, Persistence, Stock return distribution
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Banking and Finance, Vol. 105, 08.2019, p. 20-35.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Asset prices and “the devil(s) you know”
AU - Hollstein, Fabian
AU - Nguyen, Duc Binh Benno
AU - Prokopczuk, Marcel
PY - 2019/8
Y1 - 2019/8
N2 - In this paper, we study the asset pricing implications of persistence in the risk-neutral return distribution's central moments. We detect a both economically and statistically significant premium of stocks with low over stocks with high such persistence. Annual value-weighted excess (risk-adjusted) returns are 4.38% (3.06%). These results cannot be explained by factors and characteristics documented in the previous literature. Furthermore, it is not the persistence of only one of the individual distributional moments but rather the joint persistence in all central moments of the risk-neutral distribution that is priced.
AB - In this paper, we study the asset pricing implications of persistence in the risk-neutral return distribution's central moments. We detect a both economically and statistically significant premium of stocks with low over stocks with high such persistence. Annual value-weighted excess (risk-adjusted) returns are 4.38% (3.06%). These results cannot be explained by factors and characteristics documented in the previous literature. Furthermore, it is not the persistence of only one of the individual distributional moments but rather the joint persistence in all central moments of the risk-neutral distribution that is priced.
KW - Option-implied central moments
KW - Persistence
KW - Stock return distribution
UR - http://www.scopus.com/inward/record.url?scp=85065785572&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2019.04.003
DO - 10.1016/j.jbankfin.2019.04.003
M3 - Article
AN - SCOPUS:85065785572
VL - 105
SP - 20
EP - 35
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
ER -