Volatility Innovations and the Cross-Section of Stock Returns

• Main Authors: LIN CHUN TU, 林俊都
• Other Authors: Cheng, Hung-Wen
• Format: Others
• Language: en_US
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/38qg8g

碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === Stocks with increase in risk-neutral volatilities innovations over the past month tend to have high future returns. Sorting stocks ranked into decile portfolios by previous risk-neutral volatilities innovations generates spreads in average returns of about 0.8% per month, and the return differences can persist for four months. This result supports that call and put option contracts tend to exhibit increases in bullish investors instead of bearish investors.