Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 65-77 |
| Number of pages | 13 |
| Journal | Journal of Portfolio Management |
| Volume | 41 |
| Issue number | 1 |
| Early online date | 31 Oct 2014 |
| DOIs | |
| Publication status | Published - 2014 |
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Option-implied volatilities and stock returns : evidence from industry-neutral portfolios. / LIU, Xiaoquan; PONG, Eddie S.Y.; SHACKLETON, Mark B.; ZHANG, Yuanyuan.
In: Journal of Portfolio Management, Vol. 41, No. 1, 2014, p. 65-77.Research output: Journal Publications › Journal Article (refereed) › Research › peer-review
TY - JOUR
T1 - Option-implied volatilities and stock returns : evidence from industry-neutral portfolios
AU - LIU, Xiaoquan
AU - PONG, Eddie S.Y.
AU - SHACKLETON, Mark B.
AU - ZHANG, Yuanyuan
PY - 2014
Y1 - 2014
N2 - Recent studies demonstrate the profitability of stock portfolios constructed according to implied volatility measures inferred from option prices. This article examines industry effects on such portfolios' performance. Results show that quintile portfolios constructed using volatility skew and volatility spread are subject to substantial industry effects, which are particularly strong during market turbulence. The authors form industry-neutral portfolios and compare their performances to those of frill-universe portfolios that do not consider industry exposure. Results show significant improvement when portfolio strategies are implemented in an industry-neutral manner, based on either volatility skew or volatility spread.
AB - Recent studies demonstrate the profitability of stock portfolios constructed according to implied volatility measures inferred from option prices. This article examines industry effects on such portfolios' performance. Results show that quintile portfolios constructed using volatility skew and volatility spread are subject to substantial industry effects, which are particularly strong during market turbulence. The authors form industry-neutral portfolios and compare their performances to those of frill-universe portfolios that do not consider industry exposure. Results show significant improvement when portfolio strategies are implemented in an industry-neutral manner, based on either volatility skew or volatility spread.
UR - http://commons.ln.edu.hk/sw_master/2183
UR - https://www.scopus.com/inward/record.uri?eid=2-s2.0-84975859167&doi=10.3905%2fjpm.2014.41.1.065&partnerID=40&md5=8d3dc56d3792666b1aee037b3a7a31c4
U2 - 10.3905/jpm.2014.41.1.065
DO - 10.3905/jpm.2014.41.1.065
M3 - Journal Article (refereed)
VL - 41
SP - 65
EP - 77
JO - Journal of Portfolio Management
JF - Journal of Portfolio Management
SN - 0095-4918
IS - 1
ER -