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Title: | The fear and exuberance from implied volatility of S&P 100 index options | Authors: | Low, C. | Issue Date: | Jul-2004 | Citation: | Low, C. (2004-07). The fear and exuberance from implied volatility of S&P 100 index options. Journal of Business 77 (3) : 527-546. ScholarBank@NUS Repository. | Abstract: | I study the relation between option traders' risk perception and contemporaneous market conditions. Risk perception tends to increase when downside volatility increases more than upside volatility. The risk-return relation is asymmetric and nonlinear, best described as a downward-sloping reclined S-curve. That prior gains appear to have some mitigating effect on the fear of loss relative to prior losses points to a "house money" effect. Broader market conditions influence the perception of risk in a manner consistent with the "keeping up with the Joneses" effect. Leverage is a weak explanation for the risk-return relation. | Source Title: | Journal of Business | URI: | http://scholarbank.nus.edu.sg/handle/10635/115321 | ISSN: | 00219398 |
Appears in Collections: | Staff Publications Elements |
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