Volatility & Expected Returns: Then & Now
Then & Now: The research confirms previous findings on the impact of aggregate-volatility risk and idiosyncratic volatility on stock returns, and suggests that recent asset-pricing models don't consistently account for these factors, except for the models by Stambaugh and Yuan, and Barillas and Shanken.
Featured in No. 12 on 17 Aug 2023 · on release day
- Released
- 17 Aug 2023
- First featured
- No. 12 · 17 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 22
- Identifier
- RePEc:now:jnlcfr:104.00000125
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