When does investor sentiment predict stock returns?
We examine the asymmetry in the predictive power of investor sentiment in the cross-section
of stock returns across economic expansion and recession states. We test the implication of …
of stock returns across economic expansion and recession states. We test the implication of …
Richardson extrapolation techniques for the pricing of American‐style options
CC Chang, SL Chung… - Journal of Futures Markets …, 2007 - Wiley Online Library
In this article, the authors reexamine the American‐style option pricing formula of R. Geske
and HE Johnson (1984), and extend the analysis by deriving a modified formula that can …
and HE Johnson (1984), and extend the analysis by deriving a modified formula that can …
The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index
Given that both S&P 500 index and VIX options essentially contain information about the
future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the …
future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the …
The diversification effects of volatility-related assets
We examine whether investors can improve their investment opportunity sets through the
addition of volatility-related assets into various groupings of benchmark portfolios. By first …
addition of volatility-related assets into various groupings of benchmark portfolios. By first …
Static hedging and pricing American options
SL Chung, PT Shih - Journal of Banking & Finance, 2009 - Elsevier
This paper utilizes the static hedge portfolio (SHP) approach of Derman et al. [Derman, E.,
Ergener, D., Kani, I., 1995. Static options replication. Journal of Derivatives 2, 78–95] and Carr …
Ergener, D., Kani, I., 1995. Static options replication. Journal of Derivatives 2, 78–95] and Carr …
The impact of liquidity on option prices
This study illustrates the impact of both spot and option liquidity levels on option prices.
Using implied volatility to measure the option price structure, our empirical results reveal that …
Using implied volatility to measure the option price structure, our empirical results reveal that …
Catastrophe risk management with counterparty risk using alternative instruments
Since weather-related disasters have an upward trend-cycle movement and the global
financial crisis has revealed the severity of counterparty risk, this study reinvestigates and …
financial crisis has revealed the severity of counterparty risk, this study reinvestigates and …
Generalized cox-ross-rubinstein binomial models
SL Chung, PT Shih - Management Science, 2007 - pubsonline.informs.org
This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding
a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the …
a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the …
The impacts of individual and institutional trading on futures returns and volatility: Evidence from emerging index futures markets
WH Kuo, SL Chung, CY Chang - Journal of Futures Markets, 2015 - Wiley Online Library
This study examines the impacts of individual and institutional futures trading on both
futures returns and volatility using a unique dataset from the Taiwan Futures Exchange. Our …
futures returns and volatility using a unique dataset from the Taiwan Futures Exchange. Our …
Option implied cost of equity and its properties
The estimation of the cost of equity capital (COE) is one of the most important tasks in financial
management. Existing approaches compute the COE using historical data, ie they are …
management. Existing approaches compute the COE using historical data, ie they are …