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Volatility Spreads and Expected Stock Returns
16 references·16 citing·29 second hopsampled
Volatility Spreads and Expected Stock Returns (2009)Volatility Spreads and Expected Stock Ret…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Information and the Cost of Capital (2004)Information and the Cost of C…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Option pricing: A simplified approach (1979)Option pricing: A simplified …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Option Return Predictability with Machine Learning and Big Data (2023)Option Return Predictability …Low‐Risk Anomalies? (2020)Low‐Risk Anomalies?Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty (2018)Variance Risk Premia, Asset P…Unknown Unknowns: Uncertainty About Risk and Stock Returns (2018)Unknown Unknowns: Uncertainty…What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (2016)What Does Risk-Neutral Skewne…Volatility risk premia and exchange rate predictability (2016)Volatility risk premia and ex…Empirical Asset Pricing: The Cross Section of Stock Returns (2016)Empirical Asset Pricing: The …The Joint Cross Section of Stocks and Options (2014)The Joint Cross Section of St…. . . and the Cross-Section of Expected Returns (2014). . . and the Cross-Section o…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…Informational Content of Options Trading on Acquirer Announcement Return (2013)Informational Content of Opti…Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013)Improving Portfolio Selection…Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013)Does Risk-Neutral Skewness Pr…Measuring Equity Risk with Option-implied Correlations (2012)Measuring Equity Risk with Op…Aggregate Idiosyncratic Volatility (2012)Aggregate Idiosyncratic Volat…Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2010)Stronger Risk Controls, Lower…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited

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  • 2004Information and the Cost of Capital3,057 cited
  • Cited by

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