Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market
The study investigates the premiums expected for non-sustainable and sustainable components of market volatility in Korea during the August 1991 to December 2018 period. We decompose market volatility into non-sustainable and sustainable components and construct the factors that mimic the two respec...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-09-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/11/18/5123 |