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Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market
Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25
This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …
Persistent link: https://www.econbiz.de/10012219258
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate … realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run …
Persistent link: https://www.econbiz.de/10009734341
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Option-Implied Information and Predictability of Extreme Returns
Vilkov, Grigory - 2012
We study whether option-implied conditional expectation of market loss due to tail events, or tail loss measure, contains information about future returns, especially the negative ones. Our tail loss measure predicts future market returns, magnitude, and probability of the market crashes, beyond...
Persistent link: https://www.econbiz.de/10013100653
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What Drives the Expected Return on a Stock : Short-Run or Long-Run Risk?
Dorion, Christian - 2020
volatility, but remains similar across levels of default risk and systematic volatility. These findings contribute to …
Persistent link: https://www.econbiz.de/10012852955
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Variance Risk Premium in Individual Stocks : Aggregating Factor Variance Risk
Pyun, Sungjune - 2020
The risk premium of stocks due to priced variance risk is summarized to two variables -- the stock-specific price of variance risk (the difference between realized and option-implied variance) and the quantity (i.e., how stock prices respond to their variance shocks) of variance risk....
Persistent link: https://www.econbiz.de/10012855216
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251
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International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …
Persistent link: https://www.econbiz.de/10014236052
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010472838
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010412464