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Option implied asymmetric correlation risk and stock returns
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DOI：10.1016/j.frl.2026.110575.png)
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Abstract
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• We construct the option implied downside and upside correlation measures. • The downside correlation plays a unique role in predicting future stock returns. • The predictability of upside correlation is inferior to that of downside ones. • The downside correlation can predict aggregate market systematic risk.
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