PREDICTING EXTREME RETURNS AND PORTFOLIO MANAGEMENT IMPLICATIONS
研究了哪些个股特征可预测极端价格波动，发现期权隐含波动率是重要指标，但公司年龄和规模也有额外预测力；剔除预测有极端收益的股票可降低组合风险而不牺牲业绩。
Abstract We consider which readily observable characteristics of individual stocks may be used to forecast subsequent extreme price movements. We believe we are the first to explicitly consider the predictive influence of option implied volatility in such a framework, which we find to be an important indicator. However, after controlling for implied volatility levels, other factors, particularly firm age and size, continue to have additional predictive power of extreme returns. Furthermore, excluding predicted extreme return stocks leads to a portfolio that has lower risk (standard deviation of returns and lower beta) without sacrificing performance.