Similar Search Results

Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence Using Portfolios as Test Assets

Gempesaw, David; Kassa, Haim; Zykaj, Blerina Bela - 2021

One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged …

Persistent link: https://www.econbiz.de/10013235185

Financial Stress and Forecasting UK Equity Risk Premiums

Berry, William; Dietrich, Diemo; Sollis, Robert - 2022

We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...

Persistent link: https://www.econbiz.de/10013291975

The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns

Leong, Minhao; Kwok, Simon - 2022

In this study, we investigate the pricing of risks in the cross-section of cryptocurrency returns. In doing so, we decompose total variations into systematic and idiosyncratic components, as well as differentiate jumps from diffusive variations. We show that a hedged portfolio sorted on...

Persistent link: https://www.econbiz.de/10013293621

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert - 2015

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

Persistent link: https://www.econbiz.de/10013034867

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

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert - 2015

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

Persistent link: https://www.econbiz.de/10013035710

Variance Risk Premium and VIX Pricing : A Simple GARCH Approach

Liu, Qiang - 2015

This paper assesses variance risk premium and forecasts out-of-sample VIX under GARCH(1,1), GJR, and Heston-Nandi models. With the date-t GARCH parameters estimated in a moving window fashion from 3,500 daily returns of the S&P 500 index, a hypothetical date-t VIX turns out to be below the...

Persistent link: https://www.econbiz.de/10013036420

Effect of Price Inefficiency on Idiosyncratic Risk and Stock Returns

Qin, Nan - 2013

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

Persistent link: https://www.econbiz.de/10013076721

Realised Co-Skewness of the VIX and S&P 500 and the Equity Premium

Liu, Zhi - 2014

We provide theoretical and empirical justifications for linking the realised co-skewness between the VIX and the S&P 500 to conditional equity premiums. The realised co-skewness, as a measure of hedging benefits, shows a significant (and independent to that of the variance risk premium) negative...

Persistent link: https://www.econbiz.de/10013061254

The Pricing of Volatility Risk in the US Equity Market

Hitz, Lukas - 2020

We analyze whether the pricing of volatility risk depends on the asset pricing framework applied in the tests, the … specified volatility proxies, and the portfolio sorts used for spanning the asset universe. For this purpose, we compare the … results using a macroeconomic and fundamental based asset pricing model using three proxies of volatility and uncertainty …

Persistent link: https://www.econbiz.de/10012831664