This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on the underlying security.
The hypothesis of the paper is that daily changes in implied volatility can be used to earn higher than expected returns on the underlying stock. I find that implied volatility can be used to increase forecasting accuracy and may proved a means by which the Efficient Markets Hypothesis can be refuted.
","abstract_html":"<p>This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on the underlying security.</p> <p>The hypothesis of the paper is that daily changes in implied volatility can be used to earn higher than expected returns on the underlying stock. I find that implied volatility can be used to increase forecasting accuracy and may proved a means by which the Efficient Markets Hypothesis can be refuted.</p>","abstract_has_math":false,"creators":["Sampson, Thomas W"],"institution":null,"degree_name":"Master of Arts in Economics","degree_level":"Thesis","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":["Prof. Veitch","Prof. Lau","Prof. Wong"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014-04-01T07:00:00Z","date_published":"2014-04-01T07:00:00Z","updated_at":"2026-07-24T05:42:43Z","subjects":["Stock Market Forecasting","Implied Volatility","Regression","Auto-Regressive","Efficient Market Hypothesis","Insider Trading","Econometrics"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://repository.usfca.edu/thes/81","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Prof. Veitch","Prof. Lau","Prof. Wong"]},{"key":"dc:creator","label":"Author","values":["Sampson, Thomas W"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.available","label":"Dc Date Available","values":["2014-04-08T07:00:00Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Master of Arts in Economics"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Stock Market Forecasting","Implied Volatility","Regression","Auto-Regressive","Efficient Market Hypothesis","Insider Trading","Econometrics"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://repository.usfca.edu/thes/81"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on the underlying security.
The hypothesis of the paper is that daily changes in implied volatility can be used to earn higher than expected returns on the underlying stock. I find that implied volatility can be used to increase forecasting accuracy and may proved a means by which the Efficient Markets Hypothesis can be refuted.
"]},{"key":"dc:title","label":"Title","values":["Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market"]}]}],"canonical_facts":{"dc:contributor":["Prof. Veitch","Prof. Lau","Prof. Wong"],"dc:creator":["Sampson, Thomas W"],"dc:date.available":["2014-04-08T07:00:00Z"],"dc:description.abstract":["This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on the underlying security.
The hypothesis of the paper is that daily changes in implied volatility can be used to earn higher than expected returns on the underlying stock. I find that implied volatility can be used to increase forecasting accuracy and may proved a means by which the Efficient Markets Hypothesis can be refuted.
"],"dc:identifier":["https://repository.usfca.edu/thes/81"],"dc:subject":["Stock Market Forecasting","Implied Volatility","Regression","Auto-Regressive","Efficient Market Hypothesis","Insider Trading","Econometrics"],"dc:title":["Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market"],"thesis:degree_discipline":["Economics"],"thesis:degree_level":["Thesis"],"thesis:degree_name":["Master of Arts in Economics"]},"updated_at":"2026-07-24T05:42:43Z"}