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

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