The Cross-Section of Volatility and Expected Returns

Keywords

Volatility (finance), Volatility risk premium, Economics, Volatility risk, Systematic risk

References

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Cited by

• Essays in cross-sectional asset pricingScott Cederburg — 2011
• Re-Evaluation of the Low-Risk Anomaly in Finance via MatchingYang Lu, Daniel Wu, Kwok Yu — 2013
• Are Firm Size and Book-to-Market Priced Risk Factors? Chinese EvidenceMichael Dempsey — 2011
• Customer sentiment and firm performanceQiang Fei — 2011
• Realised Co-Skewness of the VIX and S&P 500 and the Equity PremiumZhi Liu, Junwei Liu, Kent Wang — 2014
• The sensitivity of Fama-French factors to economic uncertaintyAmélie Charles, Olivier Darné, Zakaria Moussa — 2014
• The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected ReturnsNishad Kapadia — 2006
• Idiosyncratic Risk and Expected Returns in REITsToyokazu Imazeki — 2012
• Speculative Trading and Stock ReturnsPan Li, Ya Tang, Jianguo Xu — 2016
• CEO Membership of New Zealand Boards: Determinants and Firm PerformanceMichelle Li — 2013
• The impact of information uncertainty on stock price performance and managers' equity financing decisionHua Jun — 2011
• Does Stock Volatility Reveal Mutual Fund Manager SkillZhibo Yuan — 2009
• Trading Frequency and Information Efficiency: Theory and Evidence from US and Chinese MarketsFeng Gao, Zoran Ivkovich, Sophia Zhengzi Li — 2014
• 海外投資家・個人投資家の投資行動と日本株の「ボラティリティ・アノマリー」岩澤 誠一郎, 内山 朋規 — 2011
• Option markets : implied information, equity process and risk managementGildas Blanchard — 2015
• Attention on Volatility and OptionsYan Xu, Shu Yan, Yuzhao Zhang — 2017
• Variance Improved PerformanceNuno Clara — 2013
• Investor Overconfidence, Turnover, Volatility and the Disposition Effect: A Study Based on Price Target UpdatesRoy Zuckerman — 2009
• Information in the Idiosyncratic Volatility of Small FirmsDavid P. Brown, Miguel A. Ferreira — 2004
• Essays in asset pricingAndrea Vedolin — 2010

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