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Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns · Study

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PreprintUnknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns

Guido Baltussen2012

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Preprintgreen2012

Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns

Guido Baltussen · Sjoerd van Bekkum · Bart van der Grient

21 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 1921Risk, Uncertainty and Profit

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2018Unknown Unknowns: Uncertainty About Risk and Stock Returnsarticle · 70 shared references 2016Empirical Asset Pricing: The Cross Section of Stock Returnsarticle · 41 shared references 2022Disagreement in economic forecasts and equity returns: risk or mispricing?article · 39 shared references 2014Options-implied variance and future stock returnsarticle · 33 shared references 2011Empirical cross-sectional asset pricing: a surveyarticle · 32 shared references 2014. . . and the Cross-Section of Expected Returnsreport · 29 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2023066

openalex_workW2525921207

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