Implied Volatility and Future Portfolio Returns

By Prithviraj S. Banerjee, James S. Doran, David R. Peterson. 2007

208 citations recorded by the source corpus.

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Earnings Guidance and Market Uncertainty (2009, unknown): “Banerjee et al. (2007) show a positive relation between VIX levels and future S&P 500 returns, even after controlling for the Fama and French (1993) factors and the Carhart (1997) momentum factor.”
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, background): “…purposes (Giot, 2005a), to identify buying/selling opportunities in the stock market (Copeland and Copeland, 1999, Whaley, 2000, Giot, 2005b, Banerjee et al., 2007), and to forecast the future market volatility (see e.g., Fleming et al., 1995, Moraux et al., 1999, Simon, 2003, Corrado and…”
Volatility Spreads and Expected Stock Returns (2009, unknown): “A large number of studies (e.g., Jackwerth and Rubinstein 1996; Bakshi and Kapadia 2003a, b; Bollerslev and Zhou 2006; Chernov 2007; Banerjee et al. 2007) find the market volatility risk premium to be negative.”
Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, result): “[12,13]) even though such results may not be generally valid as recently shown by [14] and therein”
Forecasting with Option-Implied Information (2012, unknown): “Banerjee, Doran, and Peterson (2007) find that the VIX predicts the return on portfolios sorted on book-to-market equity, size, and beta.”