Implied volatility and the cross section of stock returns in the UK

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dc.contributor.author Poshakwale, Sunil S.
dc.contributor.author Chandorkar, Pankaj Avinash
dc.contributor.author Agarwal, Vineet
dc.date.accessioned 2019-01-15T15:15:47Z
dc.date.available 2019-01-15T15:15:47Z
dc.date.issued 2019-01-14
dc.identifier.citation Poshakwale SS, Chandorkar P, Agarwal V. Implied volatility and the cross section of stock returns in the UK. Research in International Business and Finance, Volume 48, April 2019, pp. 271-286 en_UK
dc.identifier.issn 0275-5319
dc.identifier.uri https://doi.org/10.1016/j.ribaf.2019.01.006
dc.identifier.uri http://dspace.lib.cranfield.ac.uk/handle/1826/13822
dc.description.abstract The paper examines the relationship and the cross-sectional asset pricing implications of risk arising from the innovations in the short and the long-term implied market volatility on excess returns of the FTSE100 and the FTSE250 indices and the 25 value-weighted Fama-French style portfolios in the UK. Findings suggest that after controlling for valuation, macroeconomic, leading economic and business cycle indicators, returns exhibit a strong negative relationship with the innovations in both the short and the long-term implied market volatility. The cross-sectional regression provides new evidence that changes in both short and long-term implied market volatility are significant asset pricing factors with negative prices of risk, which suggests that (i) investors care about ex-ante volatility and (ii) they are willing to pay for insurance for future uncertainty. en_UK
dc.language.iso en en_UK
dc.publisher Elsevier en_UK
dc.rights Attribution-NonCommercial-NoDerivatives 4.0 International *
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/4.0/ *
dc.subject VFTSE en_UK
dc.subject Excess Returns en_UK
dc.subject Asset Pricing en_UK
dc.subject Business Cycle en_UK
dc.subject ICAPM en_UK
dc.subject implied volatility en_UK
dc.title Implied volatility and the cross section of stock returns in the UK en_UK
dc.type Article en_UK


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