Implied and realized volatility in the cross-section of equity options

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Standard

Implied and realized volatility in the cross-section of equity options. / Ammann, Manuel; Skovmand, David; Verhofen, Michael.

I: International Journal of Theoretical and Applied Finance, Bind 12, Nr. 6, 01.09.2009, s. 745-765.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Ammann, M, Skovmand, D & Verhofen, M 2009, 'Implied and realized volatility in the cross-section of equity options', International Journal of Theoretical and Applied Finance, bind 12, nr. 6, s. 745-765. https://doi.org/10.1142/S0219024909005440

APA

Ammann, M., Skovmand, D., & Verhofen, M. (2009). Implied and realized volatility in the cross-section of equity options. International Journal of Theoretical and Applied Finance, 12(6), 745-765. https://doi.org/10.1142/S0219024909005440

Vancouver

Ammann M, Skovmand D, Verhofen M. Implied and realized volatility in the cross-section of equity options. International Journal of Theoretical and Applied Finance. 2009 sep. 1;12(6):745-765. https://doi.org/10.1142/S0219024909005440

Author

Ammann, Manuel ; Skovmand, David ; Verhofen, Michael. / Implied and realized volatility in the cross-section of equity options. I: International Journal of Theoretical and Applied Finance. 2009 ; Bind 12, Nr. 6. s. 745-765.

Bibtex

@article{90aa7336b12341e9a2328edb545535f1,
title = "Implied and realized volatility in the cross-section of equity options",
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.",
keywords = "Implied volatility, Realized volatility",
author = "Manuel Ammann and David Skovmand and Michael Verhofen",
year = "2009",
month = sep,
day = "1",
doi = "10.1142/S0219024909005440",
language = "English",
volume = "12",
pages = "745--765",
journal = "International Journal of Theoretical and Applied Finance",
issn = "0219-0249",
publisher = "World Scientific Publishing Co. Pte. Ltd.",
number = "6",

}

RIS

TY - JOUR

T1 - Implied and realized volatility in the cross-section of equity options

AU - Ammann, Manuel

AU - Skovmand, David

AU - Verhofen, Michael

PY - 2009/9/1

Y1 - 2009/9/1

N2 - 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.

AB - 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.

KW - Implied volatility

KW - Realized volatility

UR - http://www.scopus.com/inward/record.url?scp=70450202954&partnerID=8YFLogxK

U2 - 10.1142/S0219024909005440

DO - 10.1142/S0219024909005440

M3 - Journal article

AN - SCOPUS:70450202954

VL - 12

SP - 745

EP - 765

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

SN - 0219-0249

IS - 6

ER -

ID: 188789621