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

Version 2 2024-06-03, 21:11
Version 1 2016-01-01, 00:00
journal contribution
posted on 2024-06-03, 21:11 authored by VAV Mai, Tze AngTze Ang, V Fang
Aggregate volatility risk and the cross-section of stock returns: Australian evidence

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Related Materials

  1. 1.
    DOI - Is version of https://doi.org/10.1016/j.pacfin.2015.12.006

Location

Amsterdam, The Netherlands

Language

English

Author URL

Publication classification

C Journal article, C1 Refereed article in a scholarly journal

Copyright notice

2016, Elsevier

Journal

Pacific Basin Finance Journal

Volume

36

Pagination

134-149

ISSN

0927-538X

eISSN

1879-0585

Publisher

ELSEVIER

Usage metrics

    Research Publications

    Categories

    Keywords

    Social SciencesBusiness, FinanceBusiness & EconomicsAggregate volatility riskCross-sectional returnAsset pricing testImplied volatility (VIX)AnomalyBOOK-TO-MARKETASYMMETRIC VOLATILITYINNOVATIONSEFFICIENCYSIZE150201 Finance150202 Financial Econometrics150205 Investment and Risk ManagementDeakin Business SchoolDepartment of Finance970114 Expanding Knowledge in Economics970115 Expanding Knowledge in CommerceFaculty of Business & Law3502 Banking, finance and investment3501 Accounting, auditing and accountability

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    All Rights Reserved

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