Implied volatility smirk and future stock returns : evidence from the German market
Di Mo, Neda Todorova and Rakesh Gupta (Department of Accounting, Finance and Economics, Griffith University, Brisbane, Australia)
| Year of publication: |
2015
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|---|---|
| Authors: | Mo, Di ; Todorova, Neda ; Gupta, Rakesh |
| Published in: |
Managerial finance. - Bingley : Emerald Group Publishing Limited, ISSN 0307-4358, ZDB-ID 750561-9. - Vol. 41.2015, 12, p. 1357-1379
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| Subject: | Market efficiency | DAX 30 index return | Implied volatility smirk (IVS) | Predictive power | Volatilität | Volatility | Deutschland | Germany | Kapitaleinkommen | Capital income | Index-Futures | Index futures | Schätzung | Estimation | Effizienzmarkthypothese | Efficient market hypothesis | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/MF-04-2015-0097 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504242