Expected Returns from Information-Driven Volatility
The paper presents an asset pricing model that links stock market volatility to information, indicating a negative relationship between past volatility and future expected returns.
Featured in No. 22 on 18 Oct 2023 ·
- Released
- 14 Nov 2021
- First featured
- No. 22 · 18 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 4605336
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