Search Results - subject:"Implied volatility spreads"

Idiosyncratic volatility, option-based measures of informed trading, and investor attention

Mohrschladt, Hannes; Schneider, Judith C. - In: Review of Derivatives Research 24 (2021) 3, pp. 197-220

We establish a direct link between sophisticated investors in the option market, private stock market investors, and the idiosyncratic volatility (IVol) puzzle. To do so, we employ three option-based volatility spreads and attention data from Google Trends. In line with the IVol puzzle, the...

Persistent link: https://www.econbiz.de/10014501538

Idiosyncratic volatility, option-based measures of informed trading, and investor attention

Mohrschladt, Hannes; Schneider, Judith C. - In: Review of derivatives research 24 (2021) 3, pp. 197-220

Persistent link: https://www.econbiz.de/10012659668

Attention : implied volatility spreads and stock returns

Gao, Xuechen; Wang, Xuewu; Yan, Zhipeng - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10012312341

Distilling private information from plain-vanilla options to predict future underlying stock price volatility : evidence from the H-shares of Chinese banks

Koutmos, Dimitrios - In: Research in international business and finance 37 (2016), pp. 391-405

Persistent link: https://www.econbiz.de/10011595294