Negative Premium in A-Share Market
The research reveals that stocks with higher volatility have significantly lower returns, an anomaly that can't be explained by market volatility or ambiguity aversion.
Featured in No. 44 on 10 Apr 2024 · 6 days after release
- Released
- 4 Apr 2024
- First featured
- No. 44 · 10 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4783616
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).