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Information content and other characteristics of the daily cross-sectional dispersion in stock returns

โœ Scribed by Robert Connolly; Chris Stivers


Book ID
116641564
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
302 KB
Volume
13
Category
Article
ISSN
0927-5398

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The information content in implied idios
โœ Dean Diavatopoulos; James S. Doran; David R. Peterson ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 266 KB ๐Ÿ‘ 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