IMPLIED AND REALIZED VOLATILITY IN THE CROSS-SECTION OF EQUITY OPTIONS

被引：5

作者：

Ammann, Manuel ^{[1
]}

Skovmand, David ^{[2
,3
]}

Verhofen, Michael ^{[1
]}

机构：

[1] Univ St Gallen, Swiss Inst Banking & Finance, Rosenbergstr 52, CH-9000 St Gallen, Switzerland

[2] Aarhus Sch Business, Dept Business Studies, DK-8210 Aarhus V, Denmark

[3] CREATES, DK-8210 Aarhus V, Denmark

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2009年 / 12卷 / 06期

关键词：

Implied volatility; realized volatility;

D O I：

10.1142/S0219024909005440

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a complete sample of US equity options, we analyze patterns of implied volatility in the cross-section of equity options with respect to stock characteristics. We find that highbeta stocks, small stocks, stocks with a low-market-to-book ratio, and non-momentum stocks trade at higher implied volatilities after controlling for historical volatility. We find evidence that implied volatility overestimates realized volatility for low-beta stocks, small caps, low-market-to-book stocks, and stocks with no momentum and vice versa. However, we cannot reject the null hypothesis that implied volatility is an unbiased predictor of realized volatility in the cross section.

引用

页码：745 / 765

页数：21

共 50 条

[31] Exploiting the Gap Between Implied and Realized Volatility
Umarov, Javdat
Luetkebohmert, Eva
Halbleib, Roxana
[J]. JOURNAL OF DERIVATIVES, 2024, 31 (04):
[32] Implied and realized volatility: empirical model selection
Zhang, Lan
[J]. ANNALS OF FINANCE, 2012, 8 (2-3) : 259 - 275
[33] Consumption Volatility and the Cross-Section of Stock Returns*
Tedongap, Romeo
[J]. REVIEW OF FINANCE, 2015, 19 (01) : 367 - 405
[34] The Cross-Section of Volatility and Expected Returns: Then and Now
Detzel, Andrew
Duarte, Jefferson
Kamara, Avraham
Siegel, Stephan
Sun, Celine
[J]. CRITICAL FINANCE REVIEW, 2023, 12 (1-4): : 9 - 56
[35] New Insights on the Implied and Realized Volatility Relation
Blenman, Lloyd P.
Wang, Guan Jun
[J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2012, 15 (01)
[36] Volatility and the cross-section of corporate bond returns
Chung, Kee H.
Wang, Junbo
Wu, Chunchi
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2019, 133 (02) : 397 - 417
[37] Excess volatility and the cross-section of stock returns
Wang, Yuming
Ma, Jinpeng
[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2014, 27 : 1 - 16
[38] PATTERNS OF 50 ETF OPTIONS IMPLIED VOLATILITY IN CHINA: ON IMPLIED VOLATILITY FUNCTIONS
Li, Pengshi
Lin, Yan
Zhong, Yuting
[J]. E & M EKONOMIE A MANAGEMENT, 2021, 24 (01): : 135 - 145
[39] The cross-section of labor leverage and equity returns
Donangelo, Andres
Gourio, Francois
Kehrig, Matthias
Palacios, Miguel
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2019, 132 (02) : 497 - 518
[40] Financial Distress and the Cross-section of Equity Returns
Garlappi, Lorenzo
Yan, Hong
[J]. JOURNAL OF FINANCE, 2011, 66 (03): : 789 - 822

← 1 2 3 4 5 →