Volatility Innovations and the Cross-Section of Stock Returns
碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === Stocks with increase in risk-neutral volatilities innovations over the past month tend to have high future returns. Sorting stocks ranked into decile portfolios by previous risk-neutral volatilities innovations generates spreads in average returns of about 0.8%...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/38qg8g |