Type of Document	Dissertation
Author	Banerjee, Prithviraj Shyamal
Author's Email Address	pb15@uakron.edu
URN	etd-04112008-150221
Title	Essays on the Forecasting Power of Implied Volatility
Degree	Doctor of Philosophy
Department	Finance, Department of
Advisory Committee	Advisor Name Title David R. Peterson Committee Chair Danling Jiang Committee Member James S. Doran Committee Member Thomas Zuehlke Committee Member William Christiansen Committee Member
Keywords	Confidence Underreaction Garch Overreaction
Date of Defense	2008-03-18
Availability	unrestricted
Abstract In this dissertation, I look at the forecasting power of implied volatility. I decompose implied volatility into a risk component and a sentiment component, and examine the forecasting power of these components for future returns and volatilities of portfolios sorted by important firm characteristics. I find that the forecasting power of implied volatility for returns is higher for higher beta portfolios and for longer horizon holding periods. I also find that the sentiment component of implied volatility has more (less) forecasting power for future returns (volatility) than the risk component.
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