Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon

By Patrick J. Dennis, Stewart Mayhew, Chris Stivers. Journal of Financial and Quantitative Analysis, 2006

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A behavioral explanation for the negative asymmetric return–volatility relation (2008, unknown): “This supports the inferences of Dennis et al. (2006), who suggest that the magnitude of the asymmetry might be related to the slope of the implied volatility function, although they do not calculate the IVF.”
Earnings Guidance and Market Uncertainty (2009, unknown): “The general finding is that volatility increases more following bad news than good news in part due to volatility feedback and leverage effects (e.g., Black, 1976; Campbell and Hentschel, 1992; Dennis et al., 2006).”
Gambling Preference and the New Year Effect of Assets with Lottery Features (2012, result): “…the idiosyncratic portion of implied volatility, we express implied market volatility as a function of market volatility, in a fashion similar to Dennis, Mayhew, and Stivers (2006), such that: σ2TV,j,t = β 2 j σ 2 MKT,t + σ 2 IVIVOL,j,t , (A-5) where σ2MKT,t is the implied market variance from…”