Article

Option-Implied Volatilities and Stock Returns: Evidence from Industry-Neutral Portfolios

Xiaoquan Liu, Eddie S.Y. Pong, Mark B. Shackleton and Yuanyuan Zhang
The Journal of Portfolio Management Fall 2014, 41 (1) 65-77; DOI: https://doi.org/10.3905/jpm.2014.41.1.065

Article Information

vol. 41 no. 1 65-77
DOI 
https://doi.org/10.3905/jpm.2014.41.1.065
Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online October 31, 2014.
Copyright & Usage 
© 2014 Pageant Media Ltd

Author Information

  1. Xiaoquan Liu
    1. is an associate professor of finance at the University of Nottingham in Ningbo, China. (xiaoquan.liu{at}nottingham.edu.cn)
  2. Eddie S.Y. Pong
    1. is the director of research and analytics at the FTSE Group in Hong Kong. (eddie.pong{at}ftse.com)
  3. Mark B. Shackleton
    1. is a professor of finance at Lancaster University in Lancaster, U.K. (m.shackleton{at}lancaster.ac.uk)
  4. Yuanyuan Zhang
    1. is an assistant professor of finance at Lingnan University in Hong Kong. (zhangy{at}ln.edu.hk)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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Option-Implied Volatilities and Stock Returns: Evidence from Industry-Neutral Portfolios
Xiaoquan Liu, Eddie S.Y. Pong, Mark B. Shackleton, Yuanyuan Zhang
The Journal of Portfolio Management Oct 2014, 41 (1) 65-77; DOI: 10.3905/jpm.2014.41.1.065
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