Volatility Spreads and Expected Stock Returns

被引：185

作者：

Bali, Turan G. ^{[1
]}

Hovakimian, Armen ^{[1
]}

机构：

[1] Baruch Coll, Zicklin Sch Business, Dept Econ & Finance, New York, NY 10010 USA

来源：

MANAGEMENT SCIENCE | 2009年 / 55卷 / 11期

关键词：

realized volatility; implied volatility; volatility risk; jump risk; stock returns; INDIVIDUAL EQUITY OPTIONS; P; 500; FUTURES; CROSS-SECTION; IDIOSYNCRATIC VOLATILITY; STOCHASTIC VOLATILITY; ASSET RETURNS; TIME-SERIES; RISK; JUMPS; PRICES;

D O I：

10.1287/mnsc.1090.1063

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between expected returns and the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that can be considered as a proxy for jump risk. The parameter estimates from the VAR-bivariate-GARCH model indicate significant information flow from individual equity options to individual stocks, implying informed trading in options by investors with private information.

引用

页码：1797 / 1812

页数：16