Volatility Spreads and Expected Stock Returns

By Turan G. Bali, Armen Hovakimian. Management Sciences, 2009

343 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dcd20a58d4dad017c9e7082e0235b4659bc3d7b3

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Citations in the corpus

Measuring Equity Risk with Option-Implied Correlations (2012, background): “For example, both the variance risk premium and implied skewness are good predictors of stock returns: Goyal and Saretto (2009)(24) and Bali and Hovakimian (2009) show that the variance risk premium is negatively linked to returns; and Cremers and Weinbaum (2010), Rehman and Vilkov (2010), Xing, Zha”
Forecasting with Option-Implied Information (2012, unknown): “Another variable that is also shown to be somewhat related to implied skewness is the spread of implied volatility of call and put options with the same maturity and same strike (Cremers and Weinbaum (2010) and Bali and Hovakimian (2009)).”
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013, methodology): “This factor is intended to proxy for a factor associated with the returns generated in Bali and Hovakimian (2009) and Cremers and Weinbaum (2010). We call the returns on this portfolio the CIV − PIV Stock factor. As the CIV − PIV signal is very similar in nature to the calculation of RNSkew, it is n”
Volatility Risk Premia and Exchange Rate Predictability (2016, unknown): “Several authors (see, for example, Goyal and Saretto, 2009, Bali and Hovakimian, 2009, and Buss and Vilkov, 2012) show that volatility risk premia have predictive power for the cross-section of stock returns.”
Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2012, unknown): “6 We proxy for downside risk using the mean implied volatility estimated using put options written on the BHC’s stock (Bali and Hovakimian (2008), Cremers and Weinbaum (2008) and Xing et al.”
Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, methodology): “Given the findings of Bali and Hovakimian (2009) and Goyal and Saretto (2009) which show that stocks with high volatility risk premia have higher returns, this explains the reduction in the portfolio's realised return and, hence, its Sharpe ratio.”
Aggregate Idiosyncratic Volatility (2012, unknown): “Bali and Hovakimian (2009) find a significant link between variance risk premiums and the cross section of expected stock returns.”