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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

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

Predictability of Time-Varying Jump Premiums : Evidence Based on Calibration

Wang, Kent - 2014

This study supplies new evidence regarding the predictive power of jumps for conditional market returns and volatilities. We change the constant jump intensity as in the Liu et al. and Du models with time-varying intensity following an autoregressive conditional jump intensity process and a...

Persistent link: https://www.econbiz.de/10013048950

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Same firm, two volatilities : how variance risk is priced in credit and equity markets

Kita, Arben; Tortorice, Daniel L. - In: The journal of corporate finance : contracting, … 69 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012629725

Modeling non-normal corporate bond yield spreads by copula

Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012642431

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

Volatility of Volatility, Expected Stock Return and Variance Risk Premium

Wang, Ruoyang - 2015

Theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk … premium. We empirically investigate the relationship between volatility of volatility and the equity risk premium, and the … relationship between the variance risk premium and the equity risk premium. We find that volatility of volatility alone explains 5 …

Persistent link: https://www.econbiz.de/10013035199

Pricing Poseidon: extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2021

Persistent link: https://www.econbiz.de/10012807282

A note on Stein's overreaction puzzle

Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276

Persistent link: https://www.econbiz.de/10012285399