Implied volatilities and Euro Stoxx 50 returns.

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dc.contributor.advisorQiu, J.
dc.contributor.authorBovens, Laurens-Jan
dc.date.issued2017-07-28
dc.description.abstractThe volatility smile may be an indication of the presence of informed traders and therefore may have predictive power for future stock returns. This thesis reports results of an analysis of the predictability of the volatility smirk present in call and in put options on stocks that make up the Euro Stoxx 50. A Fama-Macbeth regression is applied and subsequently portfolios based on differences in implied volatility are constructed. In this sample, the information in the volatility smirk harnesses no significant predictive power for future stock returns.en_US
dc.identifier.urihttp://theses.ubn.ru.nl/handle/123456789/4416
dc.language.isoenen_US
dc.thesis.facultyFaculteit der Managementwetenschappenen_US
dc.thesis.specialisationFinancial Economicsen_US
dc.thesis.studyprogrammeMaster Economicsen_US
dc.thesis.typeMasteren_US
dc.titleImplied volatilities and Euro Stoxx 50 returns.en_US
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