Option-Implied Volatility Measures and Stock Return Predictability
(2016)
Journal Article
Fu, X., Arisoy, Y. E., Shackleton, M. B., & Umutlu, M. (2016). Option-Implied Volatility Measures and Stock Return Predictability. Journal of Derivatives, 24(1), 58-78. https://doi.org/10.3905/jod.2016.24.1.058
Do changes in implied volatilities (IVs) or differences among options at different spots on the volatility surface contain predictive information for future returns? The question has been asked repeatedly—and often answered in the affirmative for spe... Read More about Option-Implied Volatility Measures and Stock Return Predictability.