This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns. / Cette thèse se compose de trois essais qui analysent l'évaluation d'actifs dans le marché boursier et le marché d'options. Le premier essai trouve une relation positive entre la pente de la surface de volatilité implicite et les rendements futurs des options. Le deuxième essai trouve une relation négative entre le coefficient de dissymétrie, calculé a partir des données intra-journalières, et les rendements des actions. Le troisième essai trouve une relation negative entre les sauts des prix intra-journaliers et les rendements futurs des actions.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.97025 |
| Date | January 2011 |
| Creators | Vasquez, Aurelio |
| Contributors | Kris J J Jacobs (Internal/Cosupervisor2), Peter Christoffersen (Internal/Supervisor) |
| Publisher | McGill University |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | French |
| Type | Electronic Thesis or Dissertation |
| Format | application/pdf |
| Coverage | Doctor of Philosophy (Desautels Faculty of Management) |
| Rights | All items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated. |
| Relation | Electronically-submitted theses. |
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