McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … management and investors. It is predicted that the higher is the compensation of the manager, the steeper will be the volatility … other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …