Caught Up in the (Higher) Moments: Essays on the Cross-Sectional Pricing of Implied Systematic Variance, Skewness, and Kurtosis
This dissertation examines if information extracted from the options markets is priced in the cross-section of equity returns and whether or not this information is a systematic risk factor. Several versions of the Intertemporal Capital Asset Pricing Model predict that changes in aggregate volatilit...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-0776 |