Option Markets and Stock Return Predictability
I investigate the information content in the implied volatility spread, which is the spread in implied volatilities between a pair of call and put options with the same strike price and time-to-maturity. By constructing the implied volatility time series for each stock, I show that stocks with large...
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| Language: | en_US |
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The University of Arizona.
2016
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| Online Access: | http://hdl.handle.net/10150/613277 http://arizona.openrepository.com/arizona/handle/10150/613277 |