Mo, Di; Todorova, Neda; Gupta, Rakesh - In: Managerial Finance 41 (2015) 12, pp. 1357-1379
Purpose – The purpose of this paper is to investigate the relationship between option’s implied volatility smirk (IVS) and excess returns in the Germany’s leading stock index Deutscher-Aktien Index (DAX) 30. Design/methodology/approach – The study defines the IVS as the difference in...
