Volatility Spreads and Expected Stock Returns
研究个股已实现波动率和隐含波动率能否预测预期收益的横截面差异，发现波动率价差与预期收益显著相关，其中已实现-隐含波动率价差代表波动率风险，看涨-看跌期权隐含波动率价差代表跳跃风险。
This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between expected returns and the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that can be considered as a proxy for jump risk. The parameter estimates from the VAR-bivariate-GARCH model indicate significant information flow from individual equity options to individual stocks, implying informed trading in options by investors with private information.