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 …

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events … Drilling (CAAR -10.5%) most severely affected. This is further supported by an increase in implied volatility and by a …

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …