The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8 Billion Option Contracts
Using 3.8 billion option contracts, the study finds implied kurtosis predicts five-day returns with 2.33 Sharpe ratio and improves volatility forecasting by 23.3 percent.
Featured in No. 136 on 23 Oct 2026 · 3 days after release
- Released
- 20 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7626643
- Authors
- Simon-pierre Boucher
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).