infonet-economy

Using a complete sample of US equity options, we find a positive,
highly significant relation between stock returns and lagged implied
volatilities. The results are robust after controlling for a number of
factors such as firm size, market value, analyst recommendations and
different levels of implied volatility. Lagged historical volatility is - in
contrast to the corresponding implied volatility - not relevant for stock
returns. We find considerable time variation in the relation between
lagged implied volatility and stock returns.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1414851