Ex Ante Stock Market Return Volatility Implied by the OEX Option Premium

The information content in implied idios

The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets

✍ Dean Diavatopoulos; James S. Doran; David R. Peterson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and