The joint cross-sectional variation of equity returns and volatilities
| dc.contributor.author | González Urteaga, Ana | |
| dc.contributor.author | Rubio Irigoyen, Gonzalo | |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.date.accessioned | 2019-09-06T07:11:28Z | |
| dc.date.available | 2019-09-06T07:11:28Z | |
| dc.date.issued | 2017 | |
| dc.description.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. | en |
| dc.description.sponsorship | The authors acknowledge financial support from the Ministry of Economics and Competitiveness through grant ECO2015-67035-P. In addition, Gonzalo Rubio acknowledges financial support from the Bank of Spain, and Generalitat Valenciana grantPROMETEOII/2013/015, and Ana González-Urteaga from Ministry of Economics and Competitiveness through grant ECO2016-77631-R. | en |
| dc.format.extent | 54 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1016/j.jbankfin.2016.11.013 | |
| dc.identifier.issn | 0378-4266 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/34755 | |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Journal of Banking and Finance, 75 (2017) 17-34 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2015-67035-P/ES/ | |
| dc.relation.projectID | info:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R/ | |
| dc.relation.publisherversion | https://doi.org/10.1016/j.jbankfin.2016.11.013 | |
| dc.rights | © 2016 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license. | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Return risk premia | en |
| dc.subject | Volatility risk premia | en |
| dc.subject | Linear factor models | en |
| dc.subject | Default premium | en |
| dc.subject | Return and volatility market segmentation | en |
| dc.title | The joint cross-sectional variation of equity returns and volatilities | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 095d724d-61c5-408c-b091-6ea37e9beb6b | |
| relation.isAuthorOfPublication.latestForDiscovery | 095d724d-61c5-408c-b091-6ea37e9beb6b |