Xi FuY. Eser ArisoyMark B. ShackletonMehmet Umutlu2025-10-0620161074-12401556-506810.3905/jod.2016.24.1.058http://dx.doi.org/10.3905/jod.2016.24.1.058https://gcris.yasar.edu.tr/handle/123456789/7730Using 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.EnglishPUT-CALL PARITY, CROSS-SECTION, SHORT SALES, EXPECTED RETURNS, MARKET, INFORMATION, PRICES, SKEW, RESTRICTIONS, CRASHArticle