The Cross-Section of Volatility and Expected Returns
收藏NBER2004-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w10852
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资源简介：
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative
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美国国家经济研究局创建时间：
2004-10-01
