Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10011933876
Persistent link: https://www.econbiz.de/10013417925
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009354100