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Implied Volatility of Call Options and Abnormal Stock Returns: Evidence From Quantile Analysis of Abnormal Return Determinants

The present study aims to assess the impact of implied volatility (IV) extracted from call option prices on abnormal stock returns. IV, as a critical market volatility index, plays an essential role in explaining investor behavior. The Black-Scholes model was used to extract IV, applying Brent’s met...

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Principais autores: Sayyede Elnaz Afzaliyan Boroujeni, Abdolmajid Abdolbaghi Ataabadi, Naser Khani
Format: Artigo
Sprog:Inglês
Udgivet: Allameh Tabataba'i University Press 2025-10-01
Serier:Mathematics and Modeling in Finance
Fag:
implied volatility
call options
abnormal returns
quantile regression
Online adgang:https://jmmf.atu.ac.ir/article_19628_303b3593ebd20c79f8710dd02fe888e9.pdf
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