Valuation and Returns on Stock Return Volatility
提出了一个基于会计的估值模型，预测公司层面的股票收益和波动率交易收益与基本面相关，并发现高预期收益的公司未来波动率高且方差风险溢价低，为个股和期权交易提供了框架。
ABSTRACT This paper provides an accounting-based valuation model that predicts that cross-sectional variation in firm-level returns to investments in both stock and stock return volatility are related to cross-sectional variation in firm-level fundamentals. The model predicts that expected stock returns have a positive quadratic relation with stock return variance and a negative quadratic relation with gains to trading in stock return variance. Consistent with these predictions, firms with high model-implied expected stock returns have high future stock return variance, and the relation is roughly quadratic. In contrast, firms with high expected stock returns have low future returns to trading in stock return variance through option contracts because these firms have high option-implied variance relative to future realized variance, i.e., low variance risk premia (VRP). The study provides a framework for using fundamentals for trading in individual stocks and options. JEL Classifications: G12; G14; G17.