VISITING SPEAKER: Statistics Seminar
|Statistics Seminar : Is Systematic Volatility a Priced Factor
Asset pricing is a core research field in finance alive with debates, anomalies and puzzles. The past half a century has seen ebbs and flows of numerous asset pricing models and debates over the roles of risk factors and firm characteristics in the determination of cross-sectional asset returns. This presentation focuses on whether systematic volatility is a priced factor using the CBOE Volatility Index (VIX), which is often referred to as the "investor fear gauge". In particular, we answer the following questions
• Is there an asymmetric volatility effect on the cross-section of stock returns?
• Is there seasonality in the cross-section of stock returns considering volatility risk?
• Given conditioning information, is systematic volatility priced?
Based on the results from stock portfolios and individual stocks, we find that the price of systematic volatility risk is consistently negative, which ranges from -1 to -2.5 precent per annum.
: Mathematics Lecture Room 3 (G.02, Ground floor of Mathematics Building (entrance from the James oval side))
: 6488 3377
Thu, 18 Oct 2012 14:00
Thu, 18 Oct 2012 15:00
annie Walker <firstname.lastname@example.org>
Tue, 16 Oct 2012 11:13
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