Volatility Disagreement in the Options Market
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We construct a novel stock-level measure of volatility disagreement as the cross-sectional dispersion of realized variance forecasts built from heterogeneous information sets and machine learning models. Sorting single-name delta-hedged straddles on this measure yields a long-short return of 5.14%
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美国国家经济研究局创建时间：
2026-07-01
