Option Implied Volatility Measures And Stock Return Predictability
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Option-Implied Volatility Measures and Stock Return Predictability
Author | : Fu, Xi |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
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Using firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios formed on the call-put implied volatility spread, implied volatility skew, and realized-implied volatility spread. Firm-level cross-sectional regressions show that, the implied volatility skew has the most significant predictive power over various investment horizons. The predictive power persists before and after the 2008 Global Financial Crisis.
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