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SSRNDerivatives & Volatility

The Common Factor in Volatility Risk Premia

Firm-level volatility risk premium has a strong factor structure, with stocks with the weakest exposures to the common bad volatility risk premium factor earning higher average returns, and the common factor in total bad volatility risk premium predicting stock market returns.

Featured in No. 24 on 2 Nov 2023 · 2 days after release · 0 citations today

Released
31 Oct 2023
First featured
No. 24 · 2 Nov 2023
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Identifier
SSRN 4618943

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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