为什么期权隐含波动率预测实现的波动率？来自新闻事件的证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2023-10-06 DOI:10.1016/j.jbankfin.2023.107019

Sipeng Chen, Gang Li

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引用次数: 0

摘要

本研究考察了股票期权隐含波动率的信息含量。我们测量预定和非预定新闻以及基本和非基本新闻的到达强度和幅度。这些新闻指标中的大多数都与同期股票回报波动率表现出强烈而积极的关联，其中许多可以通过隐含波动率进行预测。隐含波动率对未来实现波动率的预测能力约有三分之一可归因于其预测这些新闻指标的能力，而大部分预测能力来自于其预测预定和非预定新闻的到达强度的能力。基本面新闻的预测能力高于非基本面新闻。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Why does option-implied volatility forecast realized volatility? Evidence from news events

This study examines the information content of stock option-implied volatility. We measure the arrival intensities and magnitudes of scheduled and unscheduled news as well as fundamental and non-fundamental news. Most of these news measures exhibit strong and positive associations with contemporaneous stock return volatility, and many of them can be predicted by implied volatility. Approximately one third of the predictive power of implied volatility on future realized volatility can be attributed to its ability to predict these news measures, with the majority of the predictive power arising from its capacity to predict the arrival intensities of both scheduled and unscheduled news. The predictive power is higher for fundamental news than for non-fundamental news.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.