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EXPECTED VOLATILITY, UNEXPECTED VOLATILITY, AND THE CROSS-SECTION OF STOCK RETURNS

โœ Scribed by Choong Tze Chua; Jeremy Goh; Zhe Zhang

Book ID
111215598
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
169 KB
Volume
33
Category
Article
ISSN
0270-2592

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Asymmetric pricing of implied systematic
Asymmetric pricing of implied systematic volatility in the cross-section of expected returns
โœ R. Jared Delisle; James S. Doran; David R. Peterson ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 132 KB ๐Ÿ‘ 2 views

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers, C. (200