research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that … option traders have private information on the volatility of stock returns and superior information processing ability that …

We analyze whether the pricing of volatility risk depends on the asset pricing framework applied in the tests, the … specified volatility proxies, and the portfolio sorts used for spanning the asset universe. For this purpose, we compare the … results using a macroeconomic and fundamental based asset pricing model using three proxies of volatility and uncertainty …