Previous research has been mixed with respect to whether option implied volatility reflects market expectations about future realized volatility for the underlying asset. This paper uses a previously documented volatility increasing event, the stock split, to investigate the informational...

We estimate the conditional variance of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine the...

This papers studies an options trading strategy known as dispersion strategy to investigate the apparent risk premium for bearing correlation risk in the options market. Previous studies have attributed the profits to dispersion trading to the correlation risk premium embedded in index options....