Xi FuYakup Eser ArisoyMark B. ShackletonMehmet UmutluArisoy, Y. EserFu, XiShackleton, Mark B.Umutlu, Mehmet2025-10-062016107412401556-50682168-85241074-124010.3905/jod.2016.24.1.0582-s2.0-84984940550https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984940550&doi=10.3905%2Fjod.2016.24.1.058&partnerID=40&md5=dce42dc640477fe1ff536d039d458e6dhttps://gcris.yasar.edu.tr/handle/123456789/9784https://doi.org/10.3905/jod.2016.24.1.058Using 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.Englishinfo:eu-repo/semantics/openAccessArticle