Asymmetric pricing of implied systematic
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R. Jared Delisle; James S. Doran; David R. Peterson
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Article
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2010
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John Wiley and Sons
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English
โ 132 KB
๐ 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