https://scholars.lib.ntu.edu.tw/handle/123456789/625757
Title: | Volatility-of-Volatility Risk in Asset Pricing | Authors: | Chen T.-F Chordia T SAN-LIN CHUNG Lin J.-C. |
Issue Date: | 2022 | Journal Volume: | 12 | Journal Issue: | 1 | Start page/Pages: | 289-335 | Source: | Review of Asset Pricing Studies | Abstract: | This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is statistically and economically significant and robust. Market and volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on VOV, are priced. The pricing impact of VOV strengthens during market crashes, suggesting that VOV is particularly relevant during market turmoil, when investors demand increased compensation for VOV risk. (JEL G11, G12, G13) © 2021 The Author(s) 2021. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please email: journals.permissions@oup.com. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85126120422&doi=10.1093%2frapstu%2fraab018&partnerID=40&md5=4f6c94794fbf45abfaa75ab14f1cfbe7 https://scholars.lib.ntu.edu.tw/handle/123456789/625757 |
ISSN: | 20459920 | DOI: | 10.1093/rapstu/raab018 |
Appears in Collections: | 財務金融學系 |
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