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Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

Persistent link: https://www.econbiz.de/10011897782

The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices

Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213

Persistent link: https://www.econbiz.de/10014490945

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977

A Model of Momentum

Liu, Laura Xiaolei - 2012

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment … volume, stock return volatility, credit ratings, and book-to-market. However, the model fails to reproduce procyclical …

Persistent link: https://www.econbiz.de/10013115136

A Model of Momentum

Liu, Laura Xiaolei - 2011

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

Persistent link: https://www.econbiz.de/10013132883

Forecasting Nigerian stock market returns using ARIMA and artificial neural network models

Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48

The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The...

Persistent link: https://www.econbiz.de/10011488820

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...

Persistent link: https://www.econbiz.de/10013220323

Why Do Price and Volatility Information from the Options Market Predict Stock Returns?

Muravyev, Dmitriy - 2020

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the volatility spread and skew predict returns because they proxy for …

Persistent link: https://www.econbiz.de/10012855076

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Bernales, Alejandro - 2019

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …

Persistent link: https://www.econbiz.de/10012892623

Commodity Return Predictability : Evidence from Implied Variance, Skewness and their Risk Premia

Finta, Marinela Adriana - 2019

This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities' future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the...

Persistent link: https://www.econbiz.de/10012899872