题 目：Options-Implied Variance and Future Stock Returns
讲座人：郭晖 博士
辛辛那提大学商学院金融和房地产系
时间： 2011年7月8日（星期五）16：30—18：00
地点：厦门大学经济楼D110
主办单位：王亚南经济研究院
论文摘要：Existing studies document mixed evidence on Merton’s (1987) conjecture of a positive relation between conditional idiosyncratic stock variance and future stock returns. We revisit this issue using options-implied variance as a proxy for conditional variance because, as a forward-looking variable, options-implied variance has superior predictive power for future realized variance. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we uncover a significantly negative relation between options-implied variance and future stock returns. Consistent with Miller’s (1977) divergence of opinion hypothesis, the negative relation is stronger (1) for stocks with more stringent short-sale constraints or (2) when shorting stocks becomes more difficult. Keywords: stock return predictability, implied variance, realized variance, CAPM, and ICAPM
