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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

โœ Scribed by Stephen J. Taylor; Pradeep K. Yadav; Yuanyuan Zhang

Book ID
116615496
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
221 KB
Volume
34
Category
Article
ISSN
0378-4266

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๐Ÿ“œ SIMILAR VOLUMES

Stock return dynamics, option volume, an
Stock return dynamics, option volume, and the information content of implied volatility
โœ Stewart Mayhew; Chris Stivers ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 192 KB ๐Ÿ‘ 2 views

## 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

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## 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