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.