FX Options Returns Risk Factors
Long-term straddle momentum, implied volatility, and illiquidity are identified as key predictors of cross-sectional foreign exchange options returns.
Featured in No. 58 on 24 Jul 2024 · on release day
- Released
- 24 Jul 2024
- First featured
- No. 58 · 24 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 19
- Identifier
- RePEc:oup:revfin:v:28:y:2024:i:3:p:897-944.
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