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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

Persistent link: https://www.econbiz.de/10011539896

Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

Persistent link: https://www.econbiz.de/10011897782

Multivariate Downside Risk : Normal Versus Variance Gamma

Wallmeier, Martin - 2010

Although several types of options on multiple assets are popular in today's financial markets, valuing multi-asset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset...

Persistent link: https://www.econbiz.de/10013144530

Using Option Implied Volatilities to Predict Absolute Stock Returns - Evidence from Earnings Announcements and Annual Shareholders’ Meetings

Govindaraj, Suresh - 2014

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …

Persistent link: https://www.econbiz.de/10013046741

Exploring the Role of the Realized Return Distribution in the Formation of the Implied Volatility Smile

Chalamandaris, George - 2017

This article explores the role of the realized return distribution in the formation of the observed implied volatility … distribution in the formation of the implied volatility smile …

Persistent link: https://www.econbiz.de/10012954838

The Information Content of Option-Implied Tail Risk on the Future Returns of the Underlying Asset

Wang, Yaw-Huei - 2017

We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory', and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying...

Persistent link: https://www.econbiz.de/10012955241

Price Dynamic, Volatility and Information Flows in the Oil Industry : A Multivariate Analysis

Mauro, Alessandro - 2014

The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also...

Persistent link: https://www.econbiz.de/10013067163

Aggregate Volatility Risk and the Cross-Section of Stock Returns : Australian Evidence

Mai, Van Anh (Vivian) - 2015

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility … risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of …

Persistent link: https://www.econbiz.de/10013024559

The Information Content of the Implied Volatility Term Structure on Future Returns

Wang, Yaw-Huei - 2017

implied volatility index level and term structure, we show the important role of the term structure in determining future …

Persistent link: https://www.econbiz.de/10012972853

Equity Volatility Term Structures and the Cross-Section of Option Returns

Vasquez, Aurelio - 2016

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …

Persistent link: https://www.econbiz.de/10013008475