NDLI: Implied Volatility Spreads and Expected Market Returns

Please wait, while we are loading the content...

Implied Volatility Spreads and Expected Market Returns

Content Provider	Semantic Scholar
Author	Atilgan, Yigit Bali, Turan G. Demirtas, K. Ozgur
Copyright Year	2015
Abstract	This article investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is driven by the information flow from option markets to stock markets. The documented relation is significantly stronger for the periods during which (i) SP (ii) cash flow and discount rate news are large in magnitude; and (iii) consumer sentiment index takes extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance risk premium, and macroeconomic variables. Moreover, a trading strategy based on the intertemporal relation with volatility spreads has higher portfolio returns compared to a passive strategy of investing in the S&P 500 index, after transaction costs are taken into account.
Starting Page	87
Ending Page	101
Page Count	15
File Format	PDF HTM / HTML
DOI	10.2139/ssrn.1993289
Volume Number	33
Alternate Webpage(s)	https://research.sabanciuniv.edu/27774/1/Implied_Volatility_Spreads_and_Expected_Market_Returns.pdf
Alternate Webpage(s)	http://faculty.msb.edu/tgb27/AtilganBaliDemirtasJBES2015.pdf
Alternate Webpage(s)	http://faculty.msb.edu/tgb27/AtilganBaliDemirtasJBES2015_OnlineAppendix.pdf
Alternate Webpage(s)	http://myweb.sabanciuniv.edu/yatilgan/files/2014/05/implied-volatility-spreads-and-expected-market-returns.pdf
Alternate Webpage(s)	https://doi.org/10.2139/ssrn.1993289
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in