Forecasting Option-Implied Moments of Stock Returns

Student: Aleksandrov Maxim

Supervisor: Sergey Victorovich Gelman

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 9

Year of Graduation: 2019

In this paper we investigate the predictability of the option-implied risk-neutral moments of stock returns. The aim of the paper is to find significant relationships between the risk-neutral moments and a set of firm-specific and macroeconomic variables. Consistent with the existing literature, we find negative relationship between volatility and returns, positive relationship between kurtosis and returns. Other significant variables we find include the liquidity, measured by bid-ask spread, and market volatility, measured by the CBOE VIX Index.

Full text (added June 13, 2019)

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