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• W3121661702 abstract "Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We find that option-implied volatility and skewness are also good predictors of future realized beta. Motivated by this finding, we establish a set of assumptions needed to construct a beta estimate from option-implied return moments using equity and index options. This beta can be computed using only option data on a single day. It is therefore potentially able to reflect sudden changes in the structure of the underlying company." @default.
• W3121661702 created "2021-02-01" @default.
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• W3121661702 date "2011-03-01" @default.
• W3121661702 modified "2023-10-03" @default.
• W3121661702 title "Option-Implied Measures of Equity Risk*" @default.
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• W3121661702 doi "https://doi.org/10.1093/rof/rfq029" @default.
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