Term structure of recession probabilities and the cross section of asset returns

2016 ◽  
Author(s):  
Ti Zhou
Keyword(s):  
Term Structure ◽  
Cross Section ◽  
Asset Returns ◽  
The Cross

Downside risks and the cross-section of asset returns

2018 ◽  
Vol 129 (1) ◽  
pp. 69-86 ◽  
Author(s):  
Adam Farago ◽  
Roméo Tédongap
Keyword(s):  
Cross Section ◽  
Asset Returns ◽  
The Cross

Equity Volatility Term Structures and the Cross Section of Option Returns

2017 ◽  
Vol 52 (6) ◽  
pp. 2727-2754 ◽  
Author(s):  
Aurelio Vasquez
Keyword(s):  
Term Structure ◽  
Cross Section ◽  
Implied Volatility ◽  
Higher Order ◽  
Jump Risk ◽  
Option Returns ◽  
Term Structures ◽  
Order Option ◽  
The Cross

The slope of the implied volatility term structure is positively related to future option returns. I rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and statistically significant amount. The results are robust to different empirical setups and are not explained by traditional factors, higher-order option factors, or jump risk.

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