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The information content of implied volatility, skewness and kurtosis: empirical evidence from long-term CAC 40 options

โœ Scribed by Patrick Navatte; Christophe Villa

Book ID
108559610
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
444 KB
Volume
6
Category
Article
ISSN
1354-7798

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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