leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment … between previous and current period changes in implied volatility and stock returns, while current period and lagged news … strategy whereby high (low) levels of implied volatility signal attractive opportunities to take long (short) positions in the …

' volatility, skewness, and kurtosis are strongly related to subsequent returns. Specifically, we find a negative relation between … volatility and returns in thecross-section. We also find a significant relation between skewness and returns, with more …

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

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 …