Volatility spreads and expected stock returns

DOI10.1287/MNSC.1090.1063MaRDI QIDQ3117869zbMATH OpenOpenAlexFDO

Authors Turan G. Bali, Armen Hovakimian

Publication date 1 March 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.1090.1063

zbMATH Keywords

implied volatilityjump riskrealized volatilitystock returnsvolatility risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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(21)

• Volatility and expected option returns: a note
• The risk premium that never was: a fair value explanation of the volatility spread
• Idiosyncratic volatility, option-based measures of informed trading, and investor attention
• The stock implied volatility and the implied dividend volatility
• Media-expressed tone, option characteristics, and stock return predictability
• Option-implied skewness: insights from ITM-options
• Option-implied value-at-risk and the cross-section of stock returns
• Risk perception and equity returns: evidence from the SPX and VIX
• The skewness risk premium in equilibrium and stock return predictability
• A theory of volatility spreads
• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Cross-section stock return and implied covariance between jump and diffusive volatility
• Volatility information difference between CDS, options, and the cross section of options returns
• Equity issues and return volatility
• Stochastic idiosyncratic cash flow risk and real options: implications for stock returns
• Option implied VIX, skew and kurtosis term structures
• Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
• The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
• Decomposing informed trading in equity options
• Fifty years at the interface between financial modeling and operations research
• Risk-asymmetry indices in Europe

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