Staff research

Browse Bank of Canada research by keyword, author, content type, JEL code, theme or date of publication.

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1 result(s)

Variance Premium, Downside Risk and Expected Stock Returns

Staff working paper 2017-58 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xi
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.
Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation
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