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Information Uncertainty and Implied Volatilities
홍종운,박형진 한국무역연구원 2019 무역연구 Vol.15 No.2
In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty explains the discrepancy between historical and implied volatilities in Goyal and Saretto (2009). In addition, we clarified the impact of the uncertainty on the stock market as well as on the options market. In particular, we calculated the performance of our zero-investment option portfolio selling option straddle positions of stocks in the first decile with the lowest discrepancy between the two volatilities and purchasing option straddle positions in the last decile with the highest discrepancy. Moreover, we estimate the returns of these portfolios held by until to the earnings announcement days as well as the returns of the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied volatility and reduce the predictability of implied volatility for the future realized volatility. Additionally, we show an insignificant change in volatility skew during the time of a significant change in volatility implied from ATM options. Conclusively, we provide novel evidence that the uncertainty of information concerning a firm’s fundamental underlying volatility proposed in Hirshleifer (2001) significantly affects implied volatility.
洪鍾雲 春川敎育大學 1975 碩友論文集 Vol.3 No.1
1.The dry weight of regrowth after clipping was within 5cm to 7cm plots the more stubble remains the more was the regrowth, but 3cm plot was lowly. 2.Relation between photoynthetic (leaf)and reserving (stubble and root) organ after clipping in Italian rye grass and Timothy each growing stage parelleled with advancing new lop(leaf)growth after clipping and a ripid reduction in quantity of stubble and root reserves took place, especialy grater reduction in the stubble. 3.increased ratio of food reserves showed a tendency to minus(-) until 25days after clipping 3cm, 5cm and 7cm plots all together and recovered slowly about 30 days after this 4.Rate of regrowth was in inverse proportion lo increased ratio of food reserves. 5.Rate of regrowth was one of the proper index to indicate the potential regrowth of herbage crops. 6.Rate of regrowth showed high ratio in order of 7,5 and 3 cm plots (as much remain as stubble and root)until 20 days after clipping, but after 30days it showed the tendency to droping in 7cm.