The Joint Cross Section of Stocks and Options
研究发现，过去一个月看涨期权隐含波动率大幅上升的股票未来收益较高，看跌期权隐含波动率上升的股票未来收益较低，这种预测性持续长达六个月，且股票收益也能预测期权隐含波动率。
ABSTRACT Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option implied volatilities, with stocks with high past returns tending to have call and put option contracts that exhibit increases in implied volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with rational models of informed trading.