---
title: Expected Returns from Information-Driven Volatility
url: https://www.ml-quant.com/papers/ssrn/4605336/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4605336
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4605336
featured: 2023-10-18
citations: unknown
topic: Derivatives & Volatility
---


# Expected Returns from Information-Driven Volatility

The paper presents an asset pricing model that links stock market volatility to information, indicating a negative relationship between past volatility and future expected returns.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4605336
- Identifier: SSRN 4605336
- Released: 2021-11-14
- First featured: Quant Letter No. 22 (2023-10-18): https://www.ml-quant.com/issues/2023-10-18/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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