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Asymmetric Pricing of Implied Systematic Volatility in the Cross-Section of Expected Returns

DeLisle, Jared - 2012

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, Hodrick, Xing, and Zhang (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, Mayhew, and Stivers (2006), however, find an...

Persistent link: https://www.econbiz.de/10013115838

Idiosyncratic volatility covariance and expected stock returns

Peterson, David R.; Smedema, Adam R. - In: Financial management 42 (2013) 3, pp. 517-536

Persistent link: https://www.econbiz.de/10010211240

Asymmetric pricing of implied systematic volatility in the cross-section of expected returns

Delisle, R. Jared; Doran, James S.; Peterson, David R. - In: The journal of futures markets 31 (2011) 1, pp. 34-54

Persistent link: https://www.econbiz.de/10008908412

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

The return impact of realized and expected idiosyncratic volatility

Peterson, David R.; Smedema, Adam R. - In: Journal of banking & finance 35 (2011) 10, pp. 2547-2558

Persistent link: https://www.econbiz.de/10009273288

Short-sale constraints and the idiosyncratic volatility puzzle : an event study approach

Jiang, Danling; Peterson, David R.; Doran, James S. - In: Journal of empirical finance 28 (2014), pp. 36-59

Persistent link: https://www.econbiz.de/10011284511

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

Implied volatility and future portfolio returns

Banerjee, Prithviraj S.; Doran, James S.; Peterson, David R. - In: Journal of banking & finance 31 (2007) 10, pp. 3183-3199

Persistent link: https://www.econbiz.de/10003574850

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