In this paper, we intend to gain an understanding of the drivers of stock convexity, also known as gamma.
First, using a bottom-up – firm-level – approach, we showcase that stock fundamentals, in particular metrics related to value (captured by the price-to-book ratio) and historical volatility, allow us to efficiently discriminate between convex and concave stocks. Building on this result, we investigate the ties between the gamma premium and traditional risk factors.
You can now read the full whitepaper at the link below
Supporting documents
Click link to download and view these files2022.02 - Equity Convexity and Unconventional Monetary Policy - EN
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