Implied volatility duration: A measure for the timing of uncertainty resolution

We introduce implied volatility duration (IVD) as a new measure for the timing of uncertainty resolution, with high IVD corresponding to late resolution. Portfolio sorts on large cross-section stocks indicate that investors demand, average, more than 5% return per year compensation resolution uncertainty. In general equilibrium model, we show “late” can only have higher expected returns “early” if investor exhibits preference early Our empirical analysis thus provides purely market-based assessment preferences marginal investor.