Book of Donmon Teith

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996

Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Prior studies are based on

In this paper we develop and evaluate the information content of an implied volatility index for the Australian stock market. Using price data on Samp;P/ASX 200

A new research design is introduced for the empirical analysis of the relationship between implied volatility and ex-post realized volatility. The dynamics of v