1 Using the cross-section of stock returns, rather than options on the market, allows us to create portfolios of stocks that have different sensitivities to innovations in market volatility. If the price of aggregate volatility risk is negative, stocks with large, positive sensitivities to ...
The cross-section of volatility and expected returns. Journal of Finance 51, 259-299.ANG, Andrew et al. The cross‐section of volatility and expected returns. The Journal of Finance, v. 61, n. 1, p. 259-299, 2006.Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang, ...
cross-section of returnslimits to arbitrageWe successfully replicate the main results of Ang, Hodrick, Xing, and Zhang (2006): Aggregate-volatility risk and idiosyncratic volatility (IV) are each priceddoi:10.2139/ssrn.3455609Detzel, Andrew L....
The Cross-Section of Volatility and Expected Returns? Andrew Ang? Columbia University, USC and NBER Robert J. Hodrick? Columbia University and NBER Yuhang Xing§ Rice University Xiaoyan Zhang? Cornell University This Version: 9 August, 2004 thank Joe Chen, Mike Chernov, Miguel Ferreira, Jeff ...
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative ...
这篇2019年的JFE文章主要回答这样一个问题:whether thesensitivity of asset returns to aggregatevolatility(i.e., volatility risk) andidiosyncratic volatilityare priced in the cross-section of bond returns? Part 1:Portfolio analysis: sort bonds into deciles at the end of month t−1 according to the...
premiariskvolatilitysectionalvariation横截面 Thecross-sectionalvariationofvolatilityriskpremia $ AnaGonzález-Urteaga a ,GonzaloRubio b,n a DepartmentofBusinessManagement,PublicUniversityofNavarra,CampusArrosadía,31006Pamplona,Spain b DepartmentofEconomicsandBusiness,UniversityCEUCardenalHerrera,ReyesCatólicos19,03204...
We study the cross-section of returns on FX options sorting currencies based on implied volatilities (IVs). Long straddle positions in currencies with low (high) IVs perform well (poorly). A long low IV-short high IV strategy produces large average returns after transaction costs. Total volatil...
The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected idiosyncratic volatility can cloud the true relation between the expected ...
(2007), "Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns," Working Paper, Swedish School of Economics and Business ... PM Nyberg,A Vilhelmsson - 《Social Science Electronic Publishing》 被引量: 0发表: 0年 Dynamic estimation of volatility risk premia and investor...