This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at … 2010 we examine the relation between different idiosyncratic volatility measures and expected stock returns for a period … that involves both the dotcom bubble and the recent financial crisis. We first show that implied idiosyncratic volatility …

This study shows that market volatility affects stock returns both directly and indirectly through its impact on … liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … premiums but also greater illiquidity premiums that are associated with higher market volatility. In particular, we show that a …

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied … volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …

We consider which readily observable characteristics of individual stocks (e.g., option implied volatility, accounting … predictive influence of option implied volatility in such a framework, which we unsurprisingly find to be an important indicator … of future extreme price movements. However, after controlling for implied volatility levels, other factors, particularly …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

in a multivariate stochastic volatility setting, which includes multivariate non-Gaussian Ornstein-Uhlenbeck processes … and their corresponding VRP, while popular (multivariate) stochastic volatility models fail.We finally prove the existence …