This is a summary of links featured on Quantocracy on Thursday, 06/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Why Aren’t Call Options More Expensive Than Put Options? [Robot Wealth]Why arent calls more expensive than puts for an asset which is more likely to go up than down? We have an asset trading at $100 for which the distribution of future returns is a known fact. It has annual returns described by a normal distribution with mean 5% and standard deviation 10%. This is, therefore, an asset with positive drift. It is more likely to go up than down. Because we are
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Do Interest Rates Explain Value s Underperformance? [Alpha Architect]From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. 1 If we extend the period back to January 2007, the drawdown of about 51 percent is the largest ever. There have been many attempts to explain the reason for the dramatic underperformance; weve even