We examine the predictability of stock returns using implied volatility spreads (VS) from individual (nonindex) options. VS can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this empirically, we find that the predictability changes systematically with aggregate volatility and is positively related to the firms’ sensitivities to volatility risk. The alpha generated by VS hedge portfolios can be explained by aggregate volatility risk factors. Our results cannot be explained by firm-specific informed trading, transaction costs, or liquidity.

Vitamin A status of 260 groups of twenty-five males or twenty-five females, aged 35–64 years, surveyed in twenty-four provinces of the People's Republic of China, was assessed by measuring plasma retinol, retinol-binding protein and β-carotene concentrations. Direct measurements of food intake over a 3 d period and questionnaire data on the frequency of consumption of vegetables, fruit, animal products and other dietary items were also used. Vitamin A status appeared to be low only in specific counties but in general was satisfactory or only marginally deficient. Plasma harotene levels were strikingly low in comparison with Western levels despite generous vegetable consumption suggwg that intake of vitamin A precursors may have been adequate but not abundant enough to maintain high circulating plasma levels of β-carotene. Plasma β-carotene, for both males and females, was significantly correlated with the frequency of consumption of green vegetables. Plasma retinol, for males, was highly correlated with meat, fish, oil and alcohol consumption expresPed both in quantity or frequency of consumption. Higher levels of plasma retinol, together with lower levels of plasma β-carotene in males compared with females, suggest that men consume more animal products or may have higher retinol requirements and therefore a higher rate of conversion of β-carotene to retinol.