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2024-03-29T02:01:26+00:00
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Variance Premium, Downside Risk and Expected Stock Returns
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-58/
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
2017-12-19T14:27:16+00:00
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Variance Premium, Downside Risk and Expected Stock Returns
2017-12-19
Asset pricing
Financial markets
Staff Working Paper 2017-58
https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-58.pdf
Variance Premium, Downside Risk and Expected Stock Returns
Bruno Feunou
Ricardo Lopez Aliouchkin
Roméo Tedongap
Lai Xi
December 2017
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