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When the Favorite Meets the Underdog: Implied Volatility Spread and Option Returns
30/30 checkable references clean · checked 2026-08-27
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 30 checked references that resolve
resolves10.1093/rfs/16.1.0101
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
resolves10.1093/rfs/9.1.69
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
resolves10.1016/j.jbankfin.2011.09.012
The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
resolves10.1093/rof/rfr006
Gambling Preference and the New Year Effect of Assets with Lottery Features
resolves10.1007/s11147-006-9002-2
The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets
resolves10.1111/0022-1082.194060
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
resolves10.1017/s0022109010000220
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
The 4 references without a DOI — listed, not checked
no DOI — not checked?IV ) for a given category of options based on call/put and moneyness. The key independent variable is daily N et Demand, defined as customer demand less firm demand. The net demand is calculated using options corresponding to the measurement of ?IV
no DOI — not checked) zero-cost low-minus-high OTM call portfolio (CPIV L?H Call OTM), and (4) zero-cost portfolio that goes long high CPIV stocks and short high CPIV calls, and goes short low CPIV OTM calls and long low CPIV OTM calls (CPIV L?H Call-Stock), with only 10% of investment in options
no DOI — not checkedref33
no DOI — not checkedref34
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