The pricing of idiosyncratic risk: evidence from the implied volatility distribution
✍ Scribed by Stephan Süss
- Book ID
- 113082580
- Publisher
- Springer US
- Year
- 2012
- Tongue
- English
- Weight
- 732 KB
- Volume
- 26
- Category
- Article
- ISSN
- 1555-4961
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## 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
## Abstract This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant time‐to‐maturity of three months. It is observed that the AVX has a significan