A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

• Renato Faccini

  Renato Faccini

  http://orcid.org/0000-0003-3554-5783

  School of Economics and Finance, Queen Mary University of London, London E1 4NS, United Kingdom;

  Search for more papers by this author

  ,
• Eirini Konstantinidi

  Eirini Konstantinidi

  http://orcid.org/0000-0003-3476-209X

  Alliance Manchester Business School, University of Manchester, Manchester M13 9PL, United Kingdom;

  Search for more papers by this author

  ,
• George Skiadopoulos

  Corresponding Author

  George Skiadopoulos

  http://orcid.org/0000-0002-9111-2280

  School of Economics and Finance, Queen Mary University of London, London E1 4NS, United Kingdom;Department of Banking and Financial Management, University of Piraeus, Piraeus 18534, Greece;Associate Research Fellow with Cass Business School, London EC1Y 8TZ, United Kingdom and Warwick Business School, Coventry CV4 7AL, United Kingdom;

  Search for more papers by this author

  ,
• Sylvia Sarantopoulou-Chiourea

  Sylvia Sarantopoulou-Chiourea

  Independent Authority for Public Revenue, 10184 Athens, Greece

  Search for more papers by this author