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

2011 ◽  
Author(s):  
Martijn Cremers ◽  
Michael Halling ◽  
David Weinbaum
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Volatility Risk ◽  
The Cross

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

Seasonality in the Cross-Section of Stock Returns

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 55-56
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross
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