Modelling S&P 100 volatility: The information content of stock returns
β Scribed by Bevan J. Blair; Ser-Huang Poon; Stephen J. Taylor
- Book ID
- 117528276
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 149 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## 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
## 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