Niclas Robin Käfer
Last Name
Käfer
First name
Niclas Robin
Email
niclasrobin.kaefer@unisg.ch
Phone
+41 71 224 76 42
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Item type:Publication, A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options(2025-10-06); ; ; We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option return momentum, and jump risk emerging as the most likely included factors. Noteworthy, we find that (i) our results remain largely robust after controlling for transaction costs and (ii) characteristics linked to behavioral biases gain in importance for options with high retail trading volume.Type:journal articleJournal:Journal of Financial and Quantitative AnalysisScopus© Citations 1 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Option Factor Momentum(2025-04-10); ; We document significant time-series and cross-sectional momentum in 28 equity option factors. Factor momentum is distinct from a static factor portfolio, and prominent option factor models cannot fully explain its returns. Despite high autocorrelation, factor momentum profits are mainly driven by high and persistently different mean factor returns in case of longer formation periods. Option factor momentum fully subsumes option momentum, but not vice versa. Our findings are robust over time, across various market states, and for alternative momentum strategy constructions.Type:journal articleJournal:Journal of Financial and Quantitative Analysis