Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Essays in asset pricing, (pp. 1-77). 2018
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...
