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Journal article
Implications for asset returns in the implied volatility skew
Financial Analysts Journal, Vol.66, pp.65-76
66
2010
Web of Science ID: WOS:000289590700007
Abstract
This study examined the impact on future asset returns of information contained in the implied volatility skew. Future returns are linked to the discrepancy between call and put volatilities of at-the-money options and to the left side of the volatility skew, calculated as the difference between out-of-the-money and at-the-money puts. The findings discourage the use of skew-based measures for forecasting equity returns without fully parsing the skew into its most basic portions.
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Details
- Title
- Implications for asset returns in the implied volatility skew
- Publication Details
- Financial Analysts Journal, Vol.66, pp.65-76
- Resource Type
- Journal article
- Publisher
- CFA Institute; United States
- Series
- 66
- Copyright
- © 2010 CFA Institute
- Identifiers
- WOS:000289590700007; 99380090307106600
- Academic Unit
- Accounting and Finance; Lewis Bear Jr. College of Business
- Language
- English