Search Results - subject:"Implied volatility spread"

Implied volatility spread and stock mispricing

Cao, Zhen; Chelikani, Surya; Kilic, Osman; Wang, Xuewu - In: The journal of behavioral finance : a publication of … 25 (2024) 1, pp. 79-91

Persistent link: https://www.econbiz.de/10014513781

Early exercise, implied volatility spread and future stock return : jumps bind them all

Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743

Persistent link: https://www.econbiz.de/10014536677

Predicting the equity premium with the implied volatility spread

Cao, Charles Q.; Simin, Timothy T.; Xiao, Han - 2024

Persistent link: https://www.econbiz.de/10015045592

Information flow and credit rating announcements

Khorram, Mehdi; Mo, Haitao; Sanger, Gary C. - In: Journal of financial markets 65 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014466326

Variation in option implied volatility spread and future stock returns

DeLisle, R. Jared; Diavatopoulos, Dean; Fodor, Andy; … - In: The quarterly review of economics and finance : journal … 83 (2022), pp. 152-160

Persistent link: https://www.econbiz.de/10013258547

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