Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89792
Authors: 
Baule, Rainer
Korn, Olaf
Saßning, Sven
Year of Publication: 
2013
Series/Report no.: 
CFR Working Paper 13-11
Abstract: 
Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known about their properties and information content. This paper presents a first systematic comparison between six different implied beta estimators, which provides some guidance for applications and identifies directions for further improvements. The main results of the empirical study reveal that betas derived from implied variances are better predictors of realized betas than betas obtained from implied skewness, and that cross-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally have a higher information content in periods of relatively high trading activity in options markets.
Subjects: 
beta
option-implied information
JEL: 
G11
G12
G13
G14
G17
Document Type: 
Working Paper

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