The Only Constant Is Change: Nonconstant Volatility and Implied Volatility Spreads
研究了用个股期权的隐含波动率价差预测股票收益，发现这种预测能力随市场整体波动率变化，且与公司对波动率风险的敏感度正相关，不能被公司特定信息交易或交易成本解释。
Abstract We examine the predictability of stock returns using implied volatility spreads (VS) from individual (nonindex) options. VS can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this empirically, we find that the predictability changes systematically with aggregate volatility and is positively related to the firms’ sensitivities to volatility risk. The alpha generated by VS hedge portfolios can be explained by aggregate volatility risk factors. Our results cannot be explained by firm-specific informed trading, transaction costs, or liquidity.