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The predictive power of implied volatility: Evidence from 35 futures markets

✍ Scribed by Andrew Szakmary; Evren Ors; Jin Kyoung Kim; Wallace N Davidson III

Book ID: 117528514
Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 269 KB
Volume: 27
Category: Article
ISSN: 0378-4266
DOI: 10.1016/s0378-4266(02)00323-0

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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