Realized/Implied Return Variance Ratio as a Trading Signal
February 12, 2014 - Momentum Investing, Volatility Effects
Is it possible to predict serial correlation (autocorrelation) of stock returns, and thereby enhance reversal and momentum strategies. In the January 2014 version of his paper entitled “The Information Content of Option Prices Regarding Future Stock Return Serial Correlation”, Scott Murray investigates the relationship between the variance ratio (the ratio of realized to implied stock return… Keep Reading