The Common Factor in Volatility Risk Premia
Firm-level volatility risk premium has a strong factor structure, with stocks with the weakest exposures to the common bad volatility risk premium factor earning higher average returns, and the common factor in total bad volatility risk premium predicting stock market returns.
Featured in No. 24 on 2 Nov 2023 · 2 days after release · 0 citations today
- Released
- 31 Oct 2023
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- No. 24 · 2 Nov 2023
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- SSRN 4618943
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