Search Results - subject:"Volatility spread"

Why does options market information predict stock returns?

Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M. - In: Journal of financial economics 172 (2025), pp. 1-21

Persistent link: https://www.econbiz.de/10015573389

Stock returns prediction based on implied volatility spread under network perspective

Cui, Hairong; Wang, Xurui; Chu, Xiaojun - In: Computational economics 65 (2025) 5, pp. 2829-2852

Persistent link: https://www.econbiz.de/10015590304

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

Volatility risk measures and banks' leverage

Anselmi, Giulio - 2024

Persistent link: https://www.econbiz.de/10015046722

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

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

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

Testing the information-based trading hypothesis in the option market : evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11

research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that …

Persistent link: https://www.econbiz.de/10012171287

Testing the information-based trading hypothesis in the option market: Evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-11

Persistent link: https://www.econbiz.de/10012611204

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