Option-Implied Measures of Equity Risk

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We find that option-implied volatility and skewness are...

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Bibliographische Detailangaben

Veröffentlicht in:	Review of Finance 2012-04, Vol.16 (2), p.385-428
Hauptverfasser:	Chang, Bo-Young, Christoffersen, Peter, Jacobs, Kris, Vainberg, Gregory
Format:	Artikel
Sprache:	eng
Schlagworte:	Beta Put & call options Rates of return Studies Volatility
Online-Zugang:	Volltext
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