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Measuring Stock-level Misvaluation as Implied Asset Volatility: A Mertonian Perspective

https://doi.org/10.2139/ssrn.5458363
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Asset volatility
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Short Selling and Market Mispricing
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Common risk factors in the returns on stocks and bonds
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Forecasting with Option-Implied Information
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In short supply: Short-sellers and stock returns
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Explaining CDS prices with Merton’s model before and after the Lehman default
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Investor sentiment and the near-term stock market
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Using Merton model for default prediction: An empirical assessment of selected alternatives
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Limited arbitrage and short sales restrictions: evidence from the options markets
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Short sales, institutional investors and the cross-section of stock returns
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Multi-period corporate default prediction with stochastic covariates
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Cross-section of option returns and volatility☆
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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The short of it: Investor sentiment and anomalies
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Anomalies and financial distress
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The other side of value: The gross profitability premium
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A five-factor asset pricing model
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Market maturity and mispricing
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Have we solved the idiosyncratic volatility puzzle?
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Expected return, volume, and mispricing
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Music Sentiment and Stock Returns Around the World
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The jump-risk premia implicit in options: evidence from an integrated time-series study
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Short-sale constraints and stock returns
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Stocks are special too: an analysis of the equity lending market
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Capital Investments and Stock Returns
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What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
inferredcites →https://doi.org/10.1017/s0022109017000989openalex-snapshot
Overnight Returns and Firm-Specific Investor Sentiment
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Operating Leverage, Profitability, and Capital Structure
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The Response to Share Mispricing by Issuing Firms and Short Sellers
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Assessing the Probability of Bankruptcy
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Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/261703openalex-snapshot
Noise Trader Risk in Financial Markets
inferredcites →https://doi.org/10.1086/378531openalex-snapshot
Overconfidence and Speculative Bubbles
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-snapshot
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhj035openalex-snapshot
Downside Risk
inferredcites →https://doi.org/10.1093/rfs/hhm071openalex-snapshot
Investor Sentiment and Option Prices
inferredcites →https://doi.org/10.1093/rfs/hhm083openalex-snapshot
Failure Is an Option: Impediments to Short Selling and Options Prices
inferredcites →https://doi.org/10.1093/rfs/hhn039openalex-snapshot
Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition
inferredcites →https://doi.org/10.1093/rfs/hhn043openalex-snapshot
Average Idiosyncratic Volatility in G7 Countries
inferredcites →https://doi.org/10.1093/rfs/hhn044openalex-snapshot
Forecasting Default with the Merton Distance to Default Model
inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-snapshot
Demand-Based Option Pricing
inferredcites →https://doi.org/10.1093/rfs/hhp107openalex-snapshot
Is Default Risk Negatively Related to Stock Returns?
inferredcites →https://doi.org/10.1093/rfs/hhq014openalex-snapshot
The Determinants of Stock and Bond Return Comovements
inferredcites →https://doi.org/10.1093/rfs/hhs097openalex-snapshot
Short Selling and the Price Discovery Process
inferredcites →https://doi.org/10.1093/rfs/hhu072openalex-snapshot
The Sum of All FEARS Investor Sentiment and Asset Prices
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Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
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How Constraining Are Limits to Arbitrage?
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-snapshot
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhy097openalex-snapshot
Arbitrage Trading: The Long and the Short of It
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Specification Analysis of Structural Credit Risk Models
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Is the Risk of Bankruptcy a Systematic Risk?
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Differences of Opinion and the Cross Section of Stock Returns
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Default Risk in Equity Returns
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The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
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Giving Content to Investor Sentiment: The Role of Media in the Stock Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01278.xopenalex-snapshot
Analyst Disagreement, Mispricing, and Liquidity*
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01743.xopenalex-snapshot
Investment, Idiosyncratic Risk, and Ownership
inferredcites →https://doi.org/10.1111/jofi.12286openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.1111/jofi.12431openalex-snapshot
Speculative Betas
inferredcites →https://doi.org/10.1111/jofi.12601openalex-snapshot
Short Selling Risk
inferredcites →https://doi.org/10.1111/jofi.12612openalex-snapshot
Interpreting Factor Models
inferredcites →https://doi.org/10.1111/jofi.12849openalex-snapshot
Does Borrowing from Banks Cost More than Borrowing from the Market?
inferredcites →https://doi.org/10.1111/jofi.12947openalex-snapshot
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
inferredcites →https://doi.org/10.1111/jofi.13099openalex-snapshot
Anomalies and the Expected Market Return
inferredcites →https://doi.org/10.1142/9789814759588_0003openalex-snapshot
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
inferredcites →https://doi.org/10.1287/mnsc.1100.1289openalex-snapshot
The Accrual Anomaly: Risk or Mispricing?
inferredcites →https://doi.org/10.1287/mnsc.2023.00152openalex-snapshot
The Loan Fee Anomaly: A Short Seller’s Best Ideas
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Merton's model, credit risk and volatility skews
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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The Crash of '87: Was It Expected? The Evidence from Options Markets
inferredcites →https://doi.org/10.2307/2676220openalex-snapshot
Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints
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The Mispricing of Abnormal Accruals
inferredcites →https://doi.org/10.3905/jod.2016.24.1.058openalex-snapshot
Option-Implied Volatility Measures and Stock Return Predictability
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