Volatility Pricing in the Stock and Treasury Markets
نویسندگان
چکیده
منابع مشابه
Volatility Pricing in the Stock and Treasury Markets
An assets sensitivity to stock market volatility carries a signi cant risk premium across both equity and xed income markets. Large-cap and growth stocks have less exposure to volatility risk. Their relatively greater ability to weather volatility surprises, such as those often associated with nancial crises, accounts for their lower expected returns when compared to small-cap and value stoc...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1436124