Implied volatility and future portfolio returns
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference27 articles.
1. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006
2. Investor sentiment and the cross-section of stock returns;Baker;Journal of Finance,2006
3. Delta-hedged gains and the negative volatility risk premium;Bakshi;Review of Financial Studies,2003
4. Is there a risk-return tradeoff? Evidence from high-frequency data;Bali;Journal of Applied Econometrics,2006
5. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973
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