A behavioral explanation for the negative asymmetric return – volatility relation q

@inproceedings{Hibbert2008ABE,
  title={A behavioral explanation for the negative asymmetric return – volatility relation q},
  author={Ann Marie Hibbert and Robert T. Daigler and Brice Dupoyet},
  year={2008}
}
We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index return and changes in implied volatility at both the daily and intraday level. Neither the leverage hypothesis nor the volatility feedback hypothesis adequately explains the results. Alternatively, we propose that the behavior of traders (from the representativeness, affect, and extrapolation bias concepts of behavioral finance) is consistent with our empirical results of a strong daily and intraday negative… CONTINUE READING

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