Obi, Pat; Dubihlela, Job; Choi, Jeong-Gil - In: Applied Economics 44 (2012) 27, pp. 3605-3613
This study examines the relationship between equity market valuation and risk indicators that portend economic downswings. The indicators are implied options volatility, Treasury-Eurodollar (TED) spread and exchange rate. While implied volatility captures market risk in that it reflects the fear...