On the Importance of Option-implied Factors (Machine Learning)
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BSc and MSc
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Now
We construct factors based on different option implied metrics found in the literature using the chairs data from 2004-2024 and evaluate their marginal contribution relative to existing equity factors using a double selection algorithm proposed by Giglio et al. (2020).
How much additional information do option implied metrics add for equity predictability; how important are the equity factors?