Implied and Realized Volatility in the Cross-Section of Equity Options

Using a complete sample of US equity options, we analyze pat-
terns of implied volatility in the cross-section of equity options with
respect to stock characteristics. We find that high-beta stocks, small
stocks, stocks with a low-market-to-book ratio, and non-momentum
stocks trade at higher implied volatilities after controlling for histor-
ical volatility. We find evidence that implied volatility overestimates
realized volatility for low-beta stocks, small caps, low-market-to-book
stocks, and stocks with no momentum and vice versa. However, we
cannot reject the null hypothesis that implied volatility is an unbiased
predictor of realized volatility in the cross section.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1324605