---
title: Volatility & Pricing Kernel
url: https://www.ml-quant.com/papers/ssrn/4610387/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4610387
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4610387
featured: 2023-10-25
citations: unknown
topic: Derivatives & Volatility
---


# Volatility & Pricing Kernel

The study shows that negative stock market returns have a greater impact during low volatility periods, challenging some asset pricing theories.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4610387
- Identifier: SSRN 4610387
- Released: 2021-11-30
- First featured: Quant Letter No. 23 (2023-10-25): https://www.ml-quant.com/issues/2023-10-25/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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