Kim, Jun Sik - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 23-45
This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market …’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty … periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our …