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17-002/IV - Implied Volatility Sentiment: A Tale of Two Tails


  • Authors
    Philip Stork, VU Amsterdam, The Netherlands; Luiz Felix, VU Amsterdam, The Netherlands; Roman Kraussl, University of Luxembourg, Luxembourg
  • Publication date
    January 13, 2017
  • Keywords
    Sentiment, implied volatility skew, equity-risk premium, reversals, predictability.
  • JEL
    G12, G14, G17.