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dc.contributor.authorArisoy, Y. E.en_US
dc.contributor.authorSalih, A.en_US
dc.contributor.authorAkdeniz, L.en_US
dc.date.accessioned2016-02-08T10:13:49Z
dc.date.available2016-02-08T10:13:49Z
dc.date.issued2007en_US
dc.identifier.issn0270-7314
dc.identifier.urihttp://hdl.handle.net/11693/23430
dc.description.abstractThe authors examine whether volatility risk is a priced risk factor in securities returns. Zero-beta at-the-money straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor. The results suggest that straddle returns are important conditioning variables in asset pricing, and investors use straddle returns when forming their expectations about securities returns. One interesting finding is that different classes of firms react differently to volatility risk. For example, small firms and value firms have negative and significant volatility coefficients, whereas big firms and growth firms have positive and significant volatility coefficients during high-volatility periods, indicating that investors see these latter firms as hedges against volatile states of the economy. Overall, these findings have important implications for portfolio formation, risk management, and hedging strategies.en_US
dc.language.isoEnglishen_US
dc.source.titleThe Journal of Futures Marketsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1002/fut.20242en_US
dc.titleIs volatility risk priced in the securities market? evidence from S&P 500 index optionsen_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage617en_US
dc.citation.epage642en_US
dc.citation.volumeNumber27en_US
dc.citation.issueNumber7en_US
dc.identifier.doi10.1002/fut.20242en_US
dc.publisherJohn Wiley & Sonsen_US
dc.identifier.eissn1096-9934


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