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

Xiaoquan Liu; Eddie S.Y. Pong; Mark B. Shackleton; Yuanyuan Zhang

doi:10.3905/jpm.2014.41.1.065

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

Xiaoquan Liu

is an associate professor of finance at the University of Nottingham in Ningbo, China.

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For correspondence: xiaoquan.liu@nottingham.edu.cn

Eddie S.Y. Pong

is the director of research and analytics at the FTSE Group in Hong Kong.

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For correspondence: eddie.pong@ftse.com

Mark B. Shackleton

is a professor of finance at Lancaster University in Lancaster, U.K.

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For correspondence: m.shackleton@lancaster.ac.uk

Yuanyuan Zhang

is an assistant professor of finance at Lingnan University in Hong Kong.

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For correspondence: zhangy@ln.edu.hk

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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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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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