Authors
James S Doran, Kevin Krieger
Publication date
2010/1/1
Journal
Financial Analysts Journal
Volume
66
Issue
1
Pages
65-76
Publisher
Routledge
Description
This study examined the impact on future asset returns of information contained in the implied volatility skew. Future returns are linked to the discrepancy between call and put volatilities of at-the-money options and to the left side of the volatility skew, calculated as the difference between out-of-the-money and at-the-money puts. The findings discourage the use of skew-based measures for forecasting equity returns without fully parsing the skew into its most basic portions.
Total citations
Scholar articles
JS Doran, K Krieger - Financial Analysts Journal, 2010