spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
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1label,target,n_obs,n_tickers,r_squared,adj_r_squared,n_periods2Stocks | 1-Day,ret_1d,79943.0,49,0.0007920872397515488,0.0006670799944981098,3Stocks | 1-Day,ret_1d,,49,,,2415.04Stocks | 5-Day,ret_5d,79943.0,49,0.047584162165434485,0.04746500890543415,5Stocks | 5-Day,ret_5d,,49,,,2415.06ETFs | 1-Day,ret_1d,30152.0,17,0.0013818787764086071,0.001050563252297354,7ETFs | 5-Day,ret_5d,30152.0,17,0.12417340136711796,0.12388282487707691,8Indices | 1-Day,ret_1d,8986.0,3,0.004265737828671234,0.0031562846117672017,9Indices | 5-Day,ret_5d,8986.0,3,0.19295348533980317,0.1920542691674798,10All | 1-Day,ret_1d,119081.0,69,0.0010269049901033833,0.0009430070229403675,11All | 1-Day,ret_1d,,69,,,2747.012All | 5-Day,ret_5d,119081.0,69,0.05291603110227727,0.05283649100242871,13All | 5-Day,ret_5d,,69,,,2747.014