波动性(金融)
隐含波动率
波动微笑
公司债券
经济
波动率互换
波动性风险溢价
金融经济学
债券
货币经济学
作者
Jie Cao,Amit Goyal,Xiao Xiao,Xintong Zhan
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2022-03-25
被引量:1
标识
DOI:10.1287/mnsc.2022.4379
摘要
Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases in implied volatility by 0.6% per month. In contrast to existing studies that show implied volatility changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information about uncertainty shocks to the firm. Our results are consistent with the notion that informed traders with new information about firm risk prefer to trade in the option market and the corporate bond market underreacts to this information. This paper was accepted by Haoxiang Zhu, finance.
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