Arisoy, Yakup Eser; Salih, Aslihan; Akdeniz, Levent - In: Journal of Futures Markets 27 (2007) 7, pp. 617-642
The authors examine whether volatility risk is a priced risk factor in securities returns. Zero‐beta at‐the‐money straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor....