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Implied volatility and future portfolio returns · Study

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ArticleImplied volatility and future portfolio returns

James S. Doran2007

Article2007

Implied volatility and future portfolio returns

James S. Doran · David R. Peterson

193 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2006Investor Sentiment and the Cross‐Section of Stock Returns 1998Investor Psychology and Security Market Under‐ and Overreactions 2006The Cross‐Section of Volatility and Expected Returns

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Year2007

Typearticle

Published2007-01-26

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations193

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2006.12.007

openalex_workW3125156342

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2013Forecasting with Option-Implied Information

2015Exogenous shocks and the spillover effects between uncertainty and oil price

2008The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets