COVID-19 and market expectations: Evidence from option-implied densities
Author
Abstract
Suggested Citation
DOI: 10.1016/j.econlet.2020.109441
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hassan, Tarek & Hollander, Stephan & van Lent, Laurence & Schwedeler, Markus & Tahoun, Ahmed, 2020.
"Firm-Level Exposure to Epidemic Diseases: Covid-19, SARS, and H1N1,"
CEPR Discussion Papers
14573, C.E.P.R. Discussion Papers.
- Tarek Alexander Hassan & Stephan Hollander & Laurence van Lent & Markus Schwedeler & Ahmed Tahoun, 2020. "Firm-Level Exposure to Epidemic Diseases: COVID-19, SARS, and H1N1," NBER Working Papers 26971, National Bureau of Economic Research, Inc.
- Tarek A. Hassan & Laurence van Lent & Stephan Hollander & Ahmed Tahoun, 2020. "Firm-Level Exposure to Epidemic Diseases: Covid-19, SARS, and H1N1," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-340, Boston University - Department of Economics.
- Tarek A. Hassan & Stephan Hollander & Laurence van Lent & Ahmed Tahoun, 2020. "Firm-Level Exposure to Epidemic Diseases: Covid-19, SARS, and H1N1," Working Papers Series inetwp119, Institute for New Economic Thinking.
- Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Stefano Ramelli & Alexander F Wagner, 2020.
"Feverish Stock Price Reactions to COVID-19,"
The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(3), pages 622-655.
- Stefano Ramelli & Alexander F. Wagner, 2020. "Feverish Stock Price Reactions to COVID-19," Swiss Finance Institute Research Paper Series 20-12, Swiss Finance Institute.
- Wagner, Alexander F. & Ramelli, Stefano, 2020. "Feverish Stock Price Reactions to COVID-19," CEPR Discussion Papers 14511, C.E.P.R. Discussion Papers.
- Allan M. Malz, 2014. "Simple and reliable way to compute option-based risk-neutral distributions," Staff Reports 677, Federal Reserve Bank of New York.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis & Stephen J. Terry, 2020. "COVID-Induced Economic Uncertainty," NBER Working Papers 26983, National Bureau of Economic Research, Inc.
- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2023.
"Disaster resilience and asset prices,"
Journal of Financial Economics, Elsevier, vol. 150(2).
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
- repec:zbw:bofitp:2020_015 is not listed on IDEAS
- Niels Joachim Gormsen & Ralph S J Koijen & Nikolai Roussanov, 0.
"Coronavirus: Impact on Stock Prices and Growth Expectations,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 574-597.
- Koijen, Ralph & Gormsen, Niels Joachim, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers 14875, C.E.P.R. Discussion Papers.
- Niels J. Gormsen & Ralph S. J. Koijen, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," NBER Working Papers 27387, National Bureau of Economic Research, Inc.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Cejnek, Georg & Randl, Otto & Zechner, Josef, 2021.
"The COVID-19 Pandemic and Corporate Dividend Policy,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(7), pages 2389-2410, November.
- Zechner, Josef & Cejnek, Georg & Randl, Otto, 2020. "The Covid-19 Pandemic and Corporate Dividend Policy," CEPR Discussion Papers 14571, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Yrjo Koskinen & Shuai Yang & Chendi Zhang, 2020. "Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(3), pages 593-621.
- Ding, Wenzhi & Levine, Ross & Lin, Chen & Xie, Wensi, 2021.
"Corporate immunity to the COVID-19 pandemic,"
Journal of Financial Economics, Elsevier, vol. 141(2), pages 802-830.
- Wenzhi Ding & Ross Levine & Chen Lin & Wensi Xie, 2020. "Corporate Immunity to the COVID-19 Pandemic," NBER Working Papers 27055, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Matthijs Breugem & Raffaele Corvino & Roberto Marfe & Lorenzo Schonleber, 2024. "Pandemic Tail Risk," Carlo Alberto Notebooks 714 JEL Classification: C, Collegio Carlo Alberto.
- Matsuki, Takashi & Pan, Lei, 2021. "How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis," MPRA Paper 111136, University Library of Munich, Germany.
- Matthijs Breugem & Raffaele Corvino & Roberto Marfè & Lorenzo Schönleber, 2020. "Pandemic Tail Risk," Carlo Alberto Notebooks 623, Collegio Carlo Alberto.
- Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
- Li, Jianhui & Ruan, Xinfeng & Zhang, Jin E., 2022. "The price of COVID-19-induced uncertainty in the options market," Economics Letters, Elsevier, vol. 211(C).
- Agarwalla, Sobhesh Kumar & Varma, Jayanth R. & Virmani, Vineet, 2021. "The impact of COVID-19 on tail risk: Evidence from Nifty index options," Economics Letters, Elsevier, vol. 204(C).
- Breugem, Matthijs & Corvino, Raffaele & Marfè, Roberto & Schönleber, Lorenzo, 2024. "Pandemic tail risk," Journal of Banking & Finance, Elsevier, vol. 167(C).
- Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2021. "Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1498-1519, October.
- Pagnottoni, Paolo & Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2021. "Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
- John, Kose & Li, Jingrui, 2021. "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Jitsawatpaiboon, Kanokrak & Ruan, Xinfeng, 2023. "The COVID-19 risk in the cross-section of equity options," Finance Research Letters, Elsevier, vol. 53(C).
- Chen, Jia & Yi, Xingjian & Liu, Hao, 2024. "Asset redeployability and firm value amidst the COVID-19 pandemic: A real options perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michal Bernardelli & Zbigniew Korzeb & Pawel Niedziolka, 2021. "The banking sector as the absorber of the COVID-19 crisis’ economic consequences: perception of WSE investors," Oeconomia Copernicana, Institute of Economic Research, vol. 12(2), pages 335-374, June.
- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2023.
"Disaster resilience and asset prices,"
Journal of Financial Economics, Elsevier, vol. 150(2).
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," Papers 2005.08929, arXiv.org, revised May 2020.
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," EIEF Working Papers Series 2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
- Marco Pagano & Josef Zechner, 2022.
"COVID-19 and Corporate Finance [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID],"
The Review of Corporate Finance Studies, Society for Financial Studies, vol. 11(4), pages 849-879.
- Marco Pagano & Josef Zechner, 2022. "COVID-19 and Corporate Finance," CSEF Working Papers 651, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Mathur, Aakriti & Sengupta, Rajeswari & Pratap, Bhanu, 2024. "Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty," Journal of Asian Economics, Elsevier, vol. 91(C).
- Barrot, Jean-Noël & Bonelli, Maxime & Grassi, Basile & Sauvagnat, Julien, 2024. "Causal effects of closing businesses in a pandemic," Journal of Financial Economics, Elsevier, vol. 154(C).
- Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2022.
"Stock Prices and Economic Activity in the Time of Coronavirus,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(1), pages 32-67, March.
- Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2021. "Stock Prices and Economic Activity in the Time of Coronavirus," NBER Working Papers 28320, National Bureau of Economic Research, Inc.
- Ducret, Romain, 2021. "Investors' perception of business group membership during an economic crisis : Evidence from the COVID-19 pandemic," FSES Working Papers 524, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Harrison Hong & Jeffrey D. Kubik & Neng Wang & Xiao Xu & Jinqiang Yang, 2020. "Pandemics, Vaccines and an Earnings Damage Function," NBER Working Papers 27829, National Bureau of Economic Research, Inc.
- Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Bae, Kee-Hong & El Ghoul, Sadok & Gong, Zhaoran (Jason) & Guedhami, Omrane, 2021. "Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic," Journal of Corporate Finance, Elsevier, vol. 67(C).
- Zaremba, Adam & Kizys, Renatas & Tzouvanas, Panagiotis & Aharon, David Y. & Demir, Ender, 2021. "The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
- Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
- Neukirchen, Daniel & Engelhardt, Nils & Krause, Miguel & Posch, Peter N., 2023. "The value of (private) investor relations during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
- Xiaoling Chu & Chiuling Lu & Desmond Tsang, 2021. "Geographic Scope and Real Estate Firm Performance during the COVID-19 Pandemic," JRFM, MDPI, vol. 14(7), pages 1-16, July.
- Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano & Wagner, Alexander F., 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
- Nils Engelhardt & Jens Ekkenga & Peter Posch, 2021. "ESG Ratings and Stock Performance during the COVID-19 Crisis," Sustainability, MDPI, vol. 13(13), pages 1-15, June.
- Chen, Zhuo & Li, Pengfei & Liao, Li & Liu, Lu & Wang, Zhengwei, 2024. "Assessing and addressing the coronavirus-induced economic crisis: Evidence from 1.5 billion sales invoices," China Economic Review, Elsevier, vol. 85(C).
- Rahman, Md Lutfur & Al Mamun, Mohammed Abdullah, 2021. "How resilient are the Asia Pacific financial markets against a global pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
- Roddy Allan & Ervi Liusman & Teddy Lu & Desmond Tsang, 2021. "The COVID-19 Pandemic and Commercial Property Rent Dynamics," JRFM, MDPI, vol. 14(8), pages 1-24, August.
- Heyden, Kim J. & Heyden, Thomas, 2021. "Market reactions to the arrival and containment of COVID-19: An event study," Finance Research Letters, Elsevier, vol. 38(C).
More about this item
Keywords
COVID-19; Risk-neutral densities; Equity index options;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302743. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.