Delisle, R. Jared; Doran, James S.; Peterson, David R. - In: Journal of Futures Markets 31 (2011) 1, pp. 34-54
Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross‐sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers,...