Do risk-neutral moments incorporate forward-looking information?
“Stocks are bought on expectations, not facts.” -Gerald M. Loeb The stock market is constantly experiencing fluctuation, with prices moving every second. To the general public, these stock prices are reflections of the company’s intrinsic values and its fundamentals. However, we believe that thes...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/59308 |
| _version_ | 1811680021715091456 |
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| author | Chan, Weng San Loo, Samantha Kate Su Lyn Lee, Jamie Yee Jia |
| author2 | Low Chan Kee |
| author_facet | Low Chan Kee Chan, Weng San Loo, Samantha Kate Su Lyn Lee, Jamie Yee Jia |
| author_sort | Chan, Weng San |
| collection | NTU |
| description | “Stocks are bought on expectations, not facts.” -Gerald M. Loeb
The stock market is constantly experiencing fluctuation, with prices moving every second. To the general public, these stock prices are reflections of the company’s intrinsic values and its fundamentals. However, we believe that these numbers are no mere values; instead, they carry an underlying model which encompasses information about market expectations. It is believed that these prices may have predictive power over future prices. In our study, we extracted this forward-looking information from the US option prices using the Black-Scholes Model. We performed tests to determine correlations between the parameters that define the implied volatility that is embedded in the option prices. Then we estimated a multivariate time series model to define the underlying relationship between risk neutral moments and the returns from stock options. |
| first_indexed | 2024-10-01T03:18:26Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/59308 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:18:26Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/593082019-12-10T12:23:14Z Do risk-neutral moments incorporate forward-looking information? Chan, Weng San Loo, Samantha Kate Su Lyn Lee, Jamie Yee Jia Low Chan Kee School of Humanities and Social Sciences DRNTU::Social sciences::Statistics DRNTU::Business::Finance::Options “Stocks are bought on expectations, not facts.” -Gerald M. Loeb The stock market is constantly experiencing fluctuation, with prices moving every second. To the general public, these stock prices are reflections of the company’s intrinsic values and its fundamentals. However, we believe that these numbers are no mere values; instead, they carry an underlying model which encompasses information about market expectations. It is believed that these prices may have predictive power over future prices. In our study, we extracted this forward-looking information from the US option prices using the Black-Scholes Model. We performed tests to determine correlations between the parameters that define the implied volatility that is embedded in the option prices. Then we estimated a multivariate time series model to define the underlying relationship between risk neutral moments and the returns from stock options. Bachelor of Arts 2014-04-29T07:38:33Z 2014-04-29T07:38:33Z 2014 2014 Final Year Project (FYP) http://hdl.handle.net/10356/59308 en Nanyang Technological University 71 p application/pdf |
| spellingShingle | DRNTU::Social sciences::Statistics DRNTU::Business::Finance::Options Chan, Weng San Loo, Samantha Kate Su Lyn Lee, Jamie Yee Jia Do risk-neutral moments incorporate forward-looking information? |
| title | Do risk-neutral moments incorporate forward-looking information? |
| title_full | Do risk-neutral moments incorporate forward-looking information? |
| title_fullStr | Do risk-neutral moments incorporate forward-looking information? |
| title_full_unstemmed | Do risk-neutral moments incorporate forward-looking information? |
| title_short | Do risk-neutral moments incorporate forward-looking information? |
| title_sort | do risk neutral moments incorporate forward looking information |
| topic | DRNTU::Social sciences::Statistics DRNTU::Business::Finance::Options |
| url | http://hdl.handle.net/10356/59308 |
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