High policy uncertainty and low implied market volatility: An academic puzzle?

Author:

Białkowski Jędrzej,Dang Huong Dieu,Wei Xiaopeng

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference68 articles.

1. Economic uncertainty before and during the COVID-19 pandemic;Altig;J. Public Econ.,2020

2. Asset Pricing With Structural Uncertainty and Structural disagreement. Unpublished Working Paper;Andrei,2015

3. Downside risk;Ang;Rev. Financ. Stud.,2006

4. Left-tail momentum: underreaction to bad news, costly arbitrage and equity returns;Atilgan;J. Financ. Econ.,2020

5. Investor sentiment and the cross-section of stock returns;Baker;J. Finance,2006

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