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Volatility-of-Volatility Risk
(2018-05-01)
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)
"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...