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

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dc.contributor.authorPoshakwale, Sunil S.
dc.contributor.authorChandorkar, Pankaj Avinash
dc.contributor.authorAgarwal, Vineet
dc.date.accessioned2019-01-15T15:15:47Z
dc.date.available2019-01-15T15:15:47Z
dc.date.issued2019-01-14
dc.description.abstractThe 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.identifier.citationPoshakwale SS, Chandorkar P, Agarwal V. (2019) Implied volatility and the cross section of stock returns in the UK. Research in International Business and Finance, Volume 48, April 2019, pp. 271-286en_UK
dc.identifier.issn0275-5319
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2019.01.006
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/13822
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectVFTSEen_UK
dc.subjectExcess Returnsen_UK
dc.subjectAsset Pricingen_UK
dc.subjectBusiness Cycleen_UK
dc.subjectICAPMen_UK
dc.subjectimplied volatilityen_UK
dc.titleImplied volatility and the cross section of stock returns in the UKen_UK
dc.typeArticleen_UK

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