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THE EFFECTS OF THE ANNOUNCEMENTS OF DIVIDEND INCREASES ON STOCK RETURN VOLATILITY: THE EVIDENCE FROM THE OPTIONS MARKET

โœ Scribed by Narayanan Jayaraman; Kuldeep Shastri

Book ID
111105567
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
695 KB
Volume
20
Category
Article
ISSN
0306-686X

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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
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