Browsing by Author "Fu, Xi"

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    Option-implied volatility measures and stock return predictability
    (Institutional Investor Inc info@iijournals.com, 2016) Xi Fu; Yakup Eser Arisoy; Mark B. Shackleton; Mehmet Umutlu; Arisoy, Y. Eser; Fu, Xi; Shackleton, Mark B.; Umutlu, Mehmet
    Using firm-level option and stock data we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios formed on the call-put implied volatility spread implied volatility skew and realized-implied volatility spread. Firm-level cross-sectional regressions show that the implied volatility skew has the most significant predictive power over various investment horizons. The predictive power persists before and after the 2008 Global Financial Crisis. © 2018 Elsevier B.V. All rights reserved.