Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/107487
DC Field | Value | Language |
---|---|---|
dc.contributor | Faculty of Business | - |
dc.creator | Chen, S | - |
dc.creator | Li, G | - |
dc.date.accessioned | 2024-06-27T01:33:47Z | - |
dc.date.available | 2024-06-27T01:33:47Z | - |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | http://hdl.handle.net/10397/107487 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier BV | en_US |
dc.subject | Fundamental and non-fundamental news | en_US |
dc.subject | Implied volatility | en_US |
dc.subject | News intensity and magnitude | en_US |
dc.subject | Realized volatility | en_US |
dc.subject | Scheduled and unscheduled news | en_US |
dc.title | Why does option-implied volatility forecast realized volatility? Evidence from news events | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.volume | 156 | - |
dc.identifier.doi | 10.1016/j.jbankfin.2023.107019 | - |
dcterms.abstract | 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. | - |
dcterms.accessRights | embargoed access | en_US |
dcterms.bibliographicCitation | Journal of banking and finance, Nov. 2023, v. 156, 107019 | - |
dcterms.isPartOf | Journal of banking and finance | - |
dcterms.issued | 2023-11 | - |
dc.identifier.scopus | 2-s2.0-85173209903 | - |
dc.identifier.eissn | 1872-6372 | - |
dc.identifier.artn | 107019 | - |
dc.description.validate | 202406 bcch | - |
dc.identifier.FolderNumber | a2893 | en_US |
dc.identifier.SubFormID | 48663 | en_US |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.date.embargo | 2026-11-30 | en_US |
dc.description.oaCategory | Green (AAM) | en_US |
Appears in Collections: | Journal/Magazine Article |
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