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The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs

Feng, Shu; Zhang, Yi; Friesen, Geoffrey C. - In: International review of financial analysis 41 (2015), pp. 62-73

Persistent link: https://www.econbiz.de/10011508586

Price trends and patterns in technical analysis : a theoretical and empirical examination

Friesen, Geoffrey C.; Weller, Paul A.; Dunham, Lee M. - In: Journal of banking & finance 33 (2009) 6, pp. 1089-1100

Persistent link: https://www.econbiz.de/10003841886

The Relationship between the Option-Implied Volatility Smile, Stock Returns and Heterogeneous Beliefs

Feng, Shu - 2018

We study the relationship between stock returns and the implied volatility smile slope of call and put options. Stocks with a steeper put slope earn lower future returns, while stocks with a steeper call slope earn higher future returns. Using dispersion of opinion as a proxy for belief...

Persistent link: https://www.econbiz.de/10012937014

Sentiment and stock returns : anticipating a major sporting event

Payne, Brian C.; Trešl, Jiří; Friesen, Geoffrey C. - In: Journal of sports economics 19 (2018) 6, pp. 843-872

Persistent link: https://www.econbiz.de/10011900125