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This study investigates the forecasting power of implied volatility indices on forward looking returns. Prior studies document that negative innovations to returns are associated with increasing implied volatility of the underlying indices; thus, suggesting a possible relationship between extremely high levels of implied volatility and positive short term returns. We investigate this issue by examining the predictive power of three implied volatility indices, VIX, VXN and VDAX, on the underlying index returns. We extend previous research by also focusing on characterised selected stocks and examine the relationship between implied volatility indices and future returns across different sectors and classified portfolios. Our findings suggest that implied volatility indices are good predictors of 20-days and 60-days forward looking returns and illustrate insignificant predictive power for very short term (1-day and 5-days) returns. 相似文献
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Ezeani Ernest Salem Rami Kwabi Frank Boutaine Khalid Bilal Komal Bushra 《Review of Quantitative Finance and Accounting》2022,58(2):473-498
Review of Quantitative Finance and Accounting - We examine the impact of board characteristics on the speed of adjustment and the capital structure dynamics of firms in bank-based economies. Using... 相似文献
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