Aggregate volatility risk and the cross-section of stock returns: Australian evidence
Data(s) |
01/02/2016
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Resumo |
This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30081733/mai-aggregatevolatility-2016.pdf http://www.dx.doi.org/10.1016/j.pacfin.2015.12.006 |
Direitos |
2016, Elsevier |
Palavras-Chave | #Aggregate volatility risk #Cross-sectional return #Asset pricing test #Implied volatility (VIX) #Anomaly |
Tipo |
Journal Article |