Concepedia

Risk Reversal

Risk Reversal is a foreign exchange derivative strategy that consists of a long position in an out-of-the-money call option and a short position in an out-of-the-money put option, or vice versa, thereby expressing a directional volatility view on the underlying currency pair while offsetting premium costs.

24

Publications

1.2K

Citations

46

Authors

33

Institutions

Publications per year

2017–2026

3

Variants

Risk Reversals

Parents

Publications

24

Trading imbalances, predictable reversals, and cross-stock price pressure

Sandro C. Andrade, Charles Chang, Mark S. Seasholes · Journal of Financial Economics · 2008 · 163 citations

, , +15

The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna

Piti Disyatat, Gabriele Galati · Journal of International Money and Finance · 2007 · 163 citations

, , +15

Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns

Avanidhar Subrahmanyam · Financial Review · 2005 · 124 citations

, , +15

Will My Risk Parity Strategy Outperform?

Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg · Financial Analysts Journal · 2012 · 112 citations · Full text

, , +15

The Contrarian Investment Strategy does not Work in Canadian Markets

Lawrence Kryzanowski, Hao Zhang · Journal of Financial and Quantitative Analysis · 1992 · 82 citations

, , +15

1–5 of 24

Authors

46

  1. PD
    Piti Disyatat

    Bank for International Settlements, Switzerland

    3 publications · 229 citations

    3

    h-index

  2. GG
    Gabriele Galati

    De Nederlandsche Bank, Netherlands

    3 publications · 229 citations

    3

    h-index

  3. CK
    Chang‐Jin Kim

    University of California, Los Angeles, United States

    2 publications · 44 citations

    2

    h-index

  4. LR
    Lisa R. Goldberg

    University of California, Berkeley, United States

    2 publications · 125 citations

    2

    h-index

  5. JO
    John O. McClain

    Cornell University, United States

    2 publications · 61 citations

    2

    h-index

1–5 of 46

Institutions

33

  1. Cornell University

    Ithaca, United States

    3 h-index

    7 publications

    346 citations

  2. University of California, Berkeley

    Berkeley, United States

    2 h-index

    5 publications

    263 citations

  3. Korea University

    Seoul, South Korea

    1 h-index

    1 publications

    34 citations

  4. University College Cork

    Cork, Ireland

    1 h-index

    3 publications

    165 citations

  5. Bay Area Discovery Museum

    Sausalito, United States

    1 h-index

    1 publications

    13 citations

  6. University of Alberta

    Edmonton, Canada

    1 h-index

    1 publications

    54 citations

  7. Washington University in St. Louis

    St Louis, United States

    1 h-index

    1 publications

    34 citations

  8. University of Washington

    Seattle, United States

    1 h-index

    1 publications

    34 citations

1–8 of 33

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 134 citations

    6

    h-index

  2. RePEc: Research Papers in Economics

    Repository · 2 publications · 28 citations

    2

    h-index

  3. Journal of Financial and Quantitative Analysis

    JFQA · 2 publications · 136 citations

    2

    h-index

  4. Journal of International Money and Finance

    2 publications · 230 citations

    2

    h-index

  5. Applied Economics Letters

    1 publications · 17 citations

    1

    h-index

1–5