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The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: Journal of banking & finance 34 (2010) 4, pp. 871-881

Persistent link: https://www.econbiz.de/10003966119

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

Persistent link: https://www.econbiz.de/10003857823

Investigating the information content of the model-free volatility expectation by Monte Carlo methods

Zhang, Yuanyuan; Taylor, Stephen; Wang, Lili - In: The journal of futures markets 33 (2013) 11, pp. 1071-1095

Persistent link: https://www.econbiz.de/10010255100

The role of "other information" in analysts' forecasts in understanding stock return volatility

Shan, Yaowen; Taylor, Stephen L.; Walter, Terry S. - In: Review of accounting studies 19 (2014) 4, pp. 1346-1392

Persistent link: https://www.econbiz.de/10010459687

Modelling S&P 100 volatility : the information content of stock returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1679

Persistent link: https://www.econbiz.de/10001603579

How important are semi-annual earnings announcements? : an information event perspective

Taylor, Stephen L.; Tong, Alex - In: Accounting and finance 63 (2023) 3, pp. 3585-3607

Persistent link: https://www.econbiz.de/10014375352