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The Only Constant Is Change : Non-constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2022
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …
Persistent link: https://www.econbiz.de/10014236536
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Internet Appendix to the Only Constant is Change : Non-Constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2023
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …
Persistent link: https://www.econbiz.de/10014254172
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Option-implied moments and the cross-section of stock returns
Alexiou, Lykourgos; Rompolis, Leonidas S. - In: The journal of futures markets 42 (2022) 4, pp. 668-691
Persistent link: https://www.econbiz.de/10013187580
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Does the volatility of volatility risk forecast future stock returns?
Bu, Ruijun; Fu, Xi; Jawadi, Fredj - In: Journal of international financial markets, … 61 (2019), pp. 16-36
Persistent link: https://www.econbiz.de/10012128269
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CDS inferred stock volatility
Guo, Biao - In: The journal of futures markets 36 (2016) 8, pp. 745-757
Persistent link: https://www.econbiz.de/10011568556
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The predictive power of the dividend risk premium
Avino, Davide E.; Stancu, Andrei; Wese Simen, Chardin - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 8, pp. 2843-2869
Persistent link: https://www.econbiz.de/10012705194
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Informed trading in the options market and stock return predictability
Han, Joongho; Kim, Da-Hea; Byun, Suk Joon - In: The journal of futures markets 37 (2017) 11, pp. 1053-1093
Persistent link: https://www.econbiz.de/10011950947
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A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1133-1165
Persistent link: https://www.econbiz.de/10011338944
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The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011346236
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Forecasting volatility in the presence of limits to arbitrage
Hong, Lu; Nohel, Tom; Todd, Steven - In: The journal of futures markets 35 (2015) 11, pp. 987-1002
Persistent link: https://www.econbiz.de/10011546208