Publication:
The joint cross-sectional variation of equity returns and volatilities

Consultable a partir de

Date

2017

Authors

Rubio Irigoyen, Gonzalo

Director

Publisher

Elsevier
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión aceptada / Onetsi den bertsioa

Project identifier

MINECO//ECO2015-67035-P/ES/recolecta
ES/1PE/ECO2016-77631-R

Abstract

This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios.

Description

Keywords

Return risk premia, Volatility risk premia, Linear factor models, Default premium, Return and volatility market segmentation

Department

Gestión de Empresas / Enpresen Kudeaketa

Faculty/School

Degree

Doctorate program

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© 2016 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license.

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