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Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)
"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...
The FOMC Risk Shift
(2021-01-27)
We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ...
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
(2021-03-24)
We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...
TickData
For over 30 years, the world’s largest investment banks, asset managers, proprietary traders and universities have relied upon our historical intraday stock, futures, options and forex data to back-test trading strategies, ...
Robert Shiller
The data collection effort about investor attitudes that I have been conducting since 1989 has now resulted in a group of Stock Market Confidence Indexes produced by the Yale School of Management. These data are collected ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
RPNA
RavenPack News Analytics (RPNA) provides real-time structured sentiment, relevance and novelty data for entities and events detected in the unstructured text published by reputable content sources. Publishers include Dow ...
S&P500
The Standard and Poor's 500, or simply the S&P 500, is a free-float weighted measurement stock market index of 500 of the largest companies listed on stock exchanges in the United States.
IFO
"The ifo Institute provides the material with which it strives to shape the discourse on relevant topics in academia and in the public eye - hence our claim ""Shaping the Economic Debate"""