## Abstract The authors examine whether volatility risk is a priced risk factor in securities returns. Zeroβbeta atβtheβmoney straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor.
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Do dividend initiations signal a reduction in risk? Evidence from the option market
β Scribed by Jeffrey S. Jones, Jenny Gu, Pu Liu
- Book ID
- 120765074
- Publisher
- Springer US
- Year
- 2012
- Tongue
- English
- Weight
- 303 KB
- Volume
- 42
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
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