How do stocks react to extreme market events? Evidence from Brazil
Authors: Pedro Piccoli, Mo Chaudhury, Alceu Souza
Publication: Research in International Business and Finance, Vol. 42, December 2017
Abstract:
Volatility and expected option returns: A note
Authors: Mo Chaudhury
Publication: Economics Letter, Vol. 152, March 2017
Abstract:
We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.
Stock overreaction to extreme market events
Authors: Pedro Piccolia, Mo Chaudhury, Alceu Souza and Wesley Vieirada Silvaa
Publication: The North American Journal of Economics and Finance, Vol. 41, July 2017
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Overreaction to extreme market events and investor sentiment
Authors: Piccoli, P., Chaudhury, M.
Publication: Applied Economics Letters
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How Did the Financial Crisis Affect Daily Stock Returns?
Author: Mo Chaudhury
Publication: Journal of Investing, Fall 2014
Abstract: