Abstract

http://ssrn.com/abstract=1324605
 
 

References (20)



 
 

Citations (1)



 


 



Implied and Realized Volatility in the Cross-Section of Equity Options


Manuel Ammann


University of St. Gallen - Swiss Institute of Banking and Finance

David Skovmand


University of Aarhus - Business and Social Sciences

Michael Verhofen


University of St. Gallen - Swiss Institute of Banking and Finance

November 1, 2008


Abstract:     
Using a complete sample of US equity options, we analyze patterns of implied volatility in the cross-section of equity options with respect to stock characteristics. We find that high-beta stocks, small stocks, stocks with a low-market-to-book ratio, and non-momentum stocks trade at higher implied volatilities after controlling for historical volatility. We find evidence that implied volatility overestimates realized volatility for low-beta stocks, small caps, low-market-to-book stocks, and stocks with no momentum and vice versa. However, we cannot reject the null hypothesis that implied volatility is an unbiased predictor of realized volatility in the cross section.

Number of Pages in PDF File: 30

Keywords: Implied Volatility, Realized Volatility

JEL Classification: G10

working papers series





Download This Paper

Date posted: January 8, 2009  

Suggested Citation

Ammann, Manuel and Skovmand, David and Verhofen, Michael, Implied and Realized Volatility in the Cross-Section of Equity Options (November 1, 2008). Available at SSRN: http://ssrn.com/abstract=1324605 or http://dx.doi.org/10.2139/ssrn.1324605

Contact Information

Manuel Ammann (Contact Author)
University of St. Gallen - Swiss Institute of Banking and Finance ( email )
Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland
David Skovmand
University of Aarhus - Business and Social Sciences ( email )
Fuglesangs Alle 4
Building 1326, room 111
DK-8210 Aarhus, 8210
Denmark
Michael Verhofen
University of Saint Gallen - Swiss Institute of Banking and Finance ( email )
Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland
HOME PAGE: http://www.verhofen.net

Feedback to SSRN


Paper statistics
Abstract Views: 2,860
Downloads: 826
Download Rank: 15,280
References:  20
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.313 seconds