Options-implied variance and future stock returns

Author:

Guo HuiORCID,Qiu Buhui

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference104 articles.

1. Illiquidity and stock returns;Amihud;Journal of Financial Markets,2002

2. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,1986

3. Multiple-predictor regressions: hypothesis testing;Amihud;The Review of Financial Studies,2009

4. The impact of risk and uncertainty on expected returns;Anderson;Journal of Financial Economics,2009

5. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006

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