𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Distribution of Stock Returns Implied in Their Options at the Turn‐of‐the‐Year: A Test of Seasonal Volatility

✍ Scribed by Jones, Steven L.; Singh, Manoj K.


Book ID
123880854
Publisher
University of Chicago Press
Year
1997
Tongue
English
Weight
215 KB
Volume
70
Category
Article
ISSN
0021-9398

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


The information content in implied idios
✍ 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