Related Books

Implied Volatility Spreads and Future Options Returns Around Information Events and Conditions
Language: en
Pages: 45
Authors: Chuang-Chang Chang
Categories:
Type: BOOK - Published: 2018 - Publisher:

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While numerous prior studies report that call-put implied volatility spreads positively predict future stock returns, recent literature shows that the predictiv
Volatility Spreads and Earnings Announcement Returns
Language: en
Pages: 30
Authors: Yigit Atilgan
Categories:
Type: BOOK - Published: 2015 - Publisher:

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Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility sprea
Implied Volatility Spread and Future Returns
Language: en
Pages: 76
Authors: 李原豪
Categories:
Type: BOOK - Published: 2009 - Publisher:

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Volatility Spreads and Expected Stock Returns
Language: en
Pages: 33
Authors: Turan G. Bali
Categories:
Type: BOOK - Published: 2012 - Publisher:

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We examine the relation between expected future volatility (options' implied volatility) and the cross-section of expected returns. A trading strategy buying st
Using Option Implied Volatilities to Predict Absolute Stock Returns - Evidence from Earnings Announcements and Annual Shareholders' Meetings
Language: en
Pages: 36
Authors: Suresh Govindaraj
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcement