Option-implied volatility measures and stock return predictability
| dc.contributor.author | Xi Fu | |
| dc.contributor.author | Yakup Eser Arisoy | |
| dc.contributor.author | Mark B. Shackleton | |
| dc.contributor.author | Mehmet Umutlu | |
| dc.contributor.author | Arisoy, Y. Eser | |
| dc.contributor.author | Fu, Xi | |
| dc.contributor.author | Shackleton, Mark B. | |
| dc.contributor.author | Umutlu, Mehmet | |
| dc.date.accessioned | 2025-10-06T17:52:09Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | 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. | |
| dc.identifier.doi | 10.3905/jod.2016.24.1.058 | |
| dc.identifier.issn | 10741240 | |
| dc.identifier.issn | 1556-5068 | |
| dc.identifier.issn | 2168-8524 | |
| dc.identifier.issn | 1074-1240 | |
| dc.identifier.scopus | 2-s2.0-84984940550 | |
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| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/9784 | |
| dc.identifier.uri | https://doi.org/10.3905/jod.2016.24.1.058 | |
| dc.language.iso | English | |
| dc.publisher | Institutional Investor Inc info@iijournals.com | |
| dc.relation.ispartof | SSRN Electronic Journal | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.source | Journal of Derivatives | |
| dc.title | Option-implied volatility measures and stock return predictability | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | ARISOY, Yakup Eser/0000-0002-0832-8604 | |
| gdc.author.id | Umutlu, Mehmet/0000-0003-1353-2922 | |
| gdc.author.id | Shackleton, Mark/0000-0002-3942-6194 | |
| gdc.author.scopusid | 57104151700 | |
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| gdc.author.scopusid | 26535275600 | |
| gdc.author.wosid | Umutlu, Mehmet/IWM-3632-2023 | |
| gdc.author.wosid | Shackleton, Mark/B-1477-2013 | |
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| gdc.description.department | ||
| gdc.description.departmenttemp | [Fu, Xi] Univ Liverpool, Sch Management, Dept Econ Finance & Accounting, Liverpool, Merseyside, England; [Arisoy, Y. Eser] Univ Paris 09, PSL Res Univ, CNRS, DRM Finance, Paris, France; [Shackleton, Mark B.] Univ Lancaster, Dept Accounting & Finance, Sch Management, Lancaster, England; [Umutlu, Mehmet] Yasar Univ, Dept Int Trade & Finance, Izmir, Turkey | |
| gdc.description.endpage | 78 | |
| gdc.description.issue | 1 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 58 | |
| gdc.description.volume | 24 | |
| gdc.description.woscitationindex | Social Science Citation Index | |
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| gdc.oaire.keywords | return predictability | |
| gdc.oaire.keywords | 330 | |
| gdc.oaire.keywords | F.F3.F30 | |
| gdc.oaire.keywords | Prediction models | |
| gdc.oaire.keywords | Options (Finance)Volatility (Securities) | |
| gdc.oaire.keywords | 658.1 | |
| gdc.oaire.keywords | Organisation et finances d'entreprise | |
| gdc.oaire.keywords | Option-implied volatility | |
| gdc.oaire.keywords | Risk-return relationships | |
| gdc.oaire.keywords | G.G0.G00 | |
| gdc.oaire.keywords | E.E3.E30 | |
| gdc.oaire.keywords | Investments | |
| gdc.oaire.keywords | [SHS.GESTION] Humanities and Social Sciences/Business administration | |
| gdc.oaire.keywords | Financial risk | |
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| gdc.virtual.author | Umutlu, Mehmet | |
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| person.identifier.scopus-author-id | Fu- Xi (57104151700), Arisoy- Yakup Eser (17433562600), Shackleton- Mark B. (7004295044), Umutlu- Mehmet (26535275600) | |
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