Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon
研究日度股票收益与期权隐含波动率创新之间的动态关系，通过区分系统性和特质性波动率创新，发现非对称波动主要源于系统性市场因素，而非公司层面效应的加总。
Abstract We study the dynamic relation between daily stock returns and daily innovations in optionderived implied volatilities. By simultaneously analyzing innovations in index- and firmlevel implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our results indicate that the relation between stock returns and innovations in systematic volatility (idiosyncratic volatility) is substantially negative (near zero). These results suggest that asymmetric volatility is primarily attributed to systematic market-wide factors rather than aggregated firm-level effects. We also present evidence that supports our assumption that innovations in implied volatility are good proxies for innovations in expected stock volatility.