Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
研究了VIX现货、VIX期货及其基差在不同市场条件下对资产定价的不同作用，并分解VIX指数发现虚值看跌期权比看涨期权更能预测未来股票收益。
First, to separate different market conditions, this study focuses on how VIX spot ( VIX ), VIX futures ( VXF ), and their basis ( VIX − VXF ) perform different roles in asset pricing. Secondly, this study decomposes the VIX index into two parts: volatility calculated from out‐of‐the‐money call options and volatility calculated from out‐of‐the‐money put options. The analysis shows that out‐of‐the‐money put options capture more useful information in predicting future stock returns. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1029–1056, 2016