Aggregate Volatility and Market Jump Risk : A Risk-Based Explanation to Size and Value Premia

@inproceedings{ARISOY2010AggregateVA,
  title={Aggregate Volatility and Market Jump Risk : A Risk-Based Explanation to Size and Value Premia},
  author={Yakup Eser ARISOY},
  year={2010}
}
  • Yakup Eser ARISOY
  • Published 2010
Previous studies document that volatility risk is p riced in the cross-section of stock returns. Driven by evidence from option pricing literature t ha stock prices exhibit both stochastic volatility and jumps, I test whether market jump ri sk is priced differently from volatility risk. In addition to earlier findings which document a negat ive price for volatility risk, I find that jump risk is priced separately, and is negative. Further more, I document significant differences between… CONTINUE READING

Citations

Publications citing this paper.
Showing 1-2 of 2 extracted citations

References

Publications referenced by this paper.
Showing 1-5 of 5 references

ormational content of implied volatility

  • S. Joseph
  • Review of Financial Studies
  • 2002

Expectations and the cross

  • La Porta, Rafael
  • 1996

Return volatility and tr

  • Andersen, G Torben
  • 1996

Similar Papers

Loading similar papers…