We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock … returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …

This study shows that fitting errors of equity-option-implied volatility surfaces are informative about intermediary … options and the corresponding estimates from OptionMetrics' smoothed volatility surface using root-mean-square errors. In the … cross-section of stocks, this error metric increases in idiosyncratic stock volatility and several measures of option and …

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

the market diffusive risk have a higher option-implied volatility level while firms with a larger return compensation for … market jump risk have steeper option-implied volatility slope …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …