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The common factor in idiosyncratic volatility : quantitative asset pricing implications

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283

Persistent link: https://www.econbiz.de/10011589843

The Common Factor in Idiosyncratic Volatility : Quantitative Asset Pricing Implications

Herskovic, Bernard - 2014

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor...

Persistent link: https://www.econbiz.de/10013054863

The Common Factor in Idiosyncratic Volatility : Quantitative Asset Pricing Implications

Herskovic, Bernard - 2015

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor...

Persistent link: https://www.econbiz.de/10013036287

Housing collateral and consumption insurance across US regions

Lustig, Hanno; Nieuwerburgh, Stijn van - 2004

Persistent link: https://www.econbiz.de/10002083845

A theory of housing collateral, consumption insurance and risk premia

Lustig, Hanno; Nieuwerburgh, Stijn van - 2004

Persistent link: https://www.econbiz.de/10002496538

The returns on human capital : good news on Wall Street is bad news on main street

Lustig, Hanno; Nieuwerburgh, Stijn van - 2005

Persistent link: https://www.econbiz.de/10003127137

Housing collateral, consumption insurance, and risk premia : an empirical perspective

Lustig, Hanno; Nieuwerburgh, Stijn van - In: The journal of finance : the journal of the American … 60 (2005) 3, pp. 1167-1219

Persistent link: https://www.econbiz.de/10002888793

Housing collateral, consumption insurance and risk premia : an empirical perspective

Lustig, Hanno; Nieuwerburgh, Stijn van - 2003

Persistent link: https://www.econbiz.de/10001793685

Housing collateral, consumption insurance and risk premia

Lustig, Hanno (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001923482

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69

Persistent link: https://www.econbiz.de/10011799154

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