9 papers
The Year-End Toll: Frictions Embedded in Option-Implied Rates
Useong Shin
Option-implied rates are often treated as frictionless because completed boxes deliver riskless payoffs. I show that this interpretation requires option- and benchmark-side impleme…
Overshooting the Coordinate: Where Factor Corrections Land on Characteristic Axes
Useong Shin
I propose a cap-axis zero-alpha diagnostic for factor-model evaluation. Whole-stock capitalization prefixes are paired with equal realized exposure to the aggregate market, produci…
A Cap-Axis Integral Diagnostic of Factor Models
Useong Shin
I propose a cap-axis zero-alpha diagnostic for factor-model evaluation. Whole-stock capitalization prefixes are paired with equal realized exposure to the aggregate market, produci…
Anatomy of the Market: A Body-Tail Test of Factor Models
Useong Shin
In an ideal stochastic discount factor, zero pricing errors and maximum Sharpe ratio coincide; in a low-dimensional approximation they need not. I test this separation by decomposi…
Which Portfolios? The Construction Dependence of Factor Model Performance
Useong Shin
Factor-model performance depends not only on the model but also on how test assets are constructed. We form characteristic-unsorted random portfolios from a broad CRSP universe and…
A Three-Variable Benchmark for Post-GFC Covered Interest Parity Deviations
Useong Shin
This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical ben…
The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity
Useong Shin
Put-call parity is a terminal-payoff identity, but its enforcement is capital-using. I study the carry gap, the annualized wedge between option-implied and OIS discount factors, in…
Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals
Useong Shin
Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based fund…
The Cost of a Free Lunch: Evidence from U.S. Derivatives Markets
Useong Shin
Put-call parity is a terminal-payoff identity; quoted residuals against traded futures are near zero. Yet enforcing parity is path-dependent, exposing arbitrageurs to daily settlem…