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A. Eksi and S. Roy: Stock Return Predictability of Realized-Implied Volatility Spread and Abnormal Turnover

May 8, 2025

Despite the effectiveness of volatility risk premium (VRP) in predicting stock returns, measuring it is challenging because of issues with estimating expected realized volatility. This paper examines how imprecise measurement of expected realized volatility affects the predictive power of individual equity VRP, captured by realized-implied volatility spread (RVol-IVol), for cross-sectional stock returns. We show that abnormal stock turnover proxies for imprecise measurement of expected realized volatility since stocks that experience a positive (negative) turnover shock exhibit abnormally high (low) realized volatility. This contaminates the predictive power RVol-IVol as a measure of VRP and renders it insignificant among the stocks with abnormal turnover. Applying a mean reversion correction on realized volatility rectifies this problem and improves the stock return predictability significantly, increasing the returns to trading strategies based on individual equity VRP by 42% on average.

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