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http://dx.doi.org/10.1007/s11147-006-9002-2

has been cited by the following article:

• TITLE: Implied Idiosyncratic Volatility and Stock Return Predictability

  AUTHORS: Cesario Mateus, Worawuth Konsilp

  KEYWORDS: Options, Risk Premium, Stock, Volatility

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.5, November 26, 2014

  ABSTRACT: This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010, it examines the relation between different idiosyncratic volatility measures and expected stock returns for a period that involves both the dotcom bubble and the recent financial crisis. First it is showed that implied idiosyncratic volatility is the best stock return predictor among the different volatility measures used. Second, cross-section firm-specific characteristics are important on stock returns forecast. Third, we provide evidence that higher short selling constraints impact negatively stock returns having liquidity the opposite effect.