| Tekijä: | Sheikh, A. |
| Otsikko: | The behavior of volatility expectations and their effects on expected returns |
| Lehti: | Journal of Business
1993 : JAN, VOL. 66:1, p. 93-116 |
| Asiasana: | EXPECTATIONS BUSINESS ECONOMICS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | This article examines the behavior of common stock return volatility forecasts implied by call option prices and studies the relationship between implied volatilities and stock returns. The author estimates a model that integrates the findings of previous theoretical and empirical research. The conclusion is that implied volatilities are significantly positively related to forecasts of market return volatility and to recent realizations of stock and market volatilities. |
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