Krieger, Kevin; Fodor, Andy; Mauck, Nathan; Stevenson, Greg - Volkswirtschaftliche Fakultät, … - 2012
We consider which readily observable characteristics of individual stocks (e.g., option implied volatility, accounting … predictive influence of option implied volatility in such a framework, which we unsurprisingly find to be an important indicator … of future extreme price movements. However, after controlling for implied volatility levels, other factors, particularly …