How is the Volatility Priced by the Stock Market?
Description:
Traditional portfolio theory suggests that, in equilibrium, only the market risk is priced in the cross-section of expected stock returns. However, if the market is not perfect and investors are constantly changing investing behaviors based on their perceptions about future market outlook, then non-traditional risk factors could potentially provide significant power of describing the expected stock returns. This dissertation has two essays on the pricing of volatility, in which the market is no…
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Date:
August 2020
Creator:
Yu, Huaibing
Partner:
UNT Libraries