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IMPLIED VOLATILITY AND THE RISK-RETURN RELATION: A NOTE

✍ Scribed by Angelos Kanas


Book ID
112102053
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
130 KB
Volume
18
Category
Article
ISSN
1076-9307

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## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex