Volatility & Pricing Kernel
The study shows that negative stock market returns have a greater impact during low volatility periods, challenging some asset pricing theories.
Featured in No. 23 on 25 Oct 2023 ·
- Released
- 30 Nov 2021
- First featured
- No. 23 · 25 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4610387
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).