The Determinants of Implied Volatility: A Test Using LIFFE Option Prices
利用伦敦国际金融期货交易所的期权价格数据，检验了公司股票隐含波动率与杠杆、固定利率债务比例、资产久期和通胀指数化等决定因素的关系，发现久期、固定利率债务比例和杠杆显著影响波动率。
This paper presents and tests a model of the volatility of individual companies’ stocks, using implied volatilities derived from option prices. The data comes from traded options quoted on the London International Financial Futures Exchange. The model relates equity volatilities to corporate earnings announcements, interest‐rate volatility and to four determining variables representing leverage, the degree of fixed‐rate debt, asset duration and cash flow inflation indexation. The model predicts that equity volatility is positively related to duration and leverage and negatively related to the degree of inflation indexation and the proportion of fixed‐rate debt in the capital structure. Empirical results suggest that duration, the proportion of fixed‐rate debt, and leverage are significantly related to implied volatility. Regressions using all four determining variables explain approximately 30% of the cross‐sectional variation in volatility. Time series tests confirm an expected drop in volatility shortly after the earnings announcement and in most cases a positive relationship between the volatility of the stock and the volatility of interest rates.