Do implied volatilities predict stock returns

被引：2

作者：

Ammann M. ^{[1
,3
]}

Verhofen M. ^{[2
,3
,4
]}

Süss S. ^{[3
]}

机构：

[1] Department of Finance, University of St Gallen

[2] Allianz Global Investors, University of St Gallen

[3] Allianz Global Investors, 60329 Frankfurt

来源：

Journal of Asset Management | 2009年 / 10卷 / 4期

基金：

英国科研创新办公室;

关键词：

Expected returns; Implied volatility; Market efficiency;

D O I：

10.1057/jam.2009.14

中图分类号：

学科分类号：

摘要：

Using a complete sample of US equity options, we find a positive, highly significant relationship between stock returns and lagged implied volatilities. The results are robust after controlling for a number of factors such as firm size, market valuation, analyst recommendations and different levels of implied volatility. Lagged historical volatility is - in contrast to the corresponding implied volatility - not relevant for stock returns. We find considerable time variation in the relationship between lagged implied volatility and stock returns. © 2009 Palgrave Macmillan.

引用

页码：222 / 234

页数：12

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