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The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
Diavatopoulos, Dean; Doran, James S.; Fodor, Andy; … - In: Journal of banking & finance 36 (2012) 3, pp. 786-802
Persistent link: https://www.econbiz.de/10009540475
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The information content in implied idiosyncratic volatility and the cross-section of stock returns : evidence from the option markets
Diavatopoulos, Dean; Doran, James S.; Peterson, David R. - In: The journal of futures markets 28 (2008) 11, pp. 1013-1039
Persistent link: https://www.econbiz.de/10003769957
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Investor expectations of volatility increases around large stock splits as implied in call option premia
Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10003602801
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Is there information in the volatility skew?
Doran, James S.; Peterson, David R.; Tarrant, Brian C. - In: The journal of futures markets 27 (2007) 10, pp. 921-959
Persistent link: https://www.econbiz.de/10003531001