Search Results - subject:"Implied volatility spread"

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10012144216

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

Persistent link: https://www.econbiz.de/10011932555

Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

Persistent link: https://www.econbiz.de/10011897782