Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns

2008 ◽  
Author(s):  
Peter M. Nyberg ◽  
Anders Wilhelmsson
Keyword(s):  
Risk Aversion ◽  
Stock Returns ◽  
Cross Section ◽  
Risk Premium ◽  
Volatility Risk ◽  
Volatility Risk Premium ◽  
The Cross ◽  
Premium Risk

scholarly journals Labor Income, Relative Wealth Concerns, and the Cross Section of Stock Returns

2016 ◽  
Vol 51 (4) ◽  
pp. 1111-1133 ◽  
Author(s):  
Juan-Pedro Gómez ◽  
Richard Priestley ◽  
Fernando Zapatero
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Risk Premium ◽  
Labor Income ◽  
Relative Wealth ◽  
The Cross

The finance literature documents a relation between labor income and the cross section of stock returns. One possible explanation for this is the hedging decisions of investors with relative wealth concerns. This implies a negative risk premium associated with stock returns correlated with local undiversifiable wealth because investors are willing to pay more for stocks that help their hedging goals. We find evidence that is consistent with these regularities. In addition, we show that the effect varies across geographic areas depending on the size and variability of undiversifiable wealth, proxied by labor income.

scholarly journals A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1133-1165 ◽  
Author(s):  
René Garcia ◽  
Daniel Mantilla-García ◽  
Lionel Martellini
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Strong Predictor ◽  
Idiosyncratic Volatility ◽  
Cross Sectional ◽  
Volatility Risk ◽  
Model Free ◽  
Asymptotically Efficient Estimator ◽  
The Cross ◽  
Asymptotically Efficient

AbstractIn this paper, we formally show that the cross-sectional variance of stock returns is a consistent and asymptotically efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: It is model free and observable at any frequency. Previous approaches have used monthly model-based measures constructed from time series of daily returns. The newly proposed cross-sectional volatility measure is a strong predictor for future returns on the aggregate stock market at the daily frequency. Using the cross section of size and book-to-market portfolios, we show that the portfolios’ exposures to the aggregate idiosyncratic volatility risk predict the cross section of expected returns.

Aggregate Volatility Risk and the Cross-Section of Stock Returns: Australian Evidence

2015 ◽  
Author(s):  
Van Anh (Vivian) Mai ◽  
Tze Chuan 'Chewie' Ang ◽  
Victor Fang
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Volatility Risk ◽  
The Cross

Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

2015 ◽  
Vol 70 (2) ◽  
pp. 577-614 ◽  
Author(s):  
MARTIJN CREMERS ◽  
MICHAEL HALLING ◽  
DAVID WEINBAUM
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Volatility Risk ◽  
The Cross

Aggregate volatility risk and the cross-section of stock returns: Australian evidence

2016 ◽  
Vol 36 ◽  
pp. 134-149 ◽  
Author(s):  
Van Anh (Vivian) Mai ◽  
Tze Chuan ‘Chewie’ Ang ◽  
Victor Fang
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Volatility Risk ◽  
The Cross
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