Volatility Expectations and Returns
收藏NBER2020-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w28102
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资源简介：
We provide evidence that agents have slow-moving beliefs about stock market volatility that lead to initial underreaction to volatility shocks followed by delayed overreaction. These dynamics are mirrored in the VIX and variance risk premiums which reflect investor expectations about volatility and
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美国国家经济研究局创建时间：
2020-11-01
