Aggregate jump and volatility risk in the cross-section of stock returns

• Autores: Martijn Cremers, Michael Halling, David Weinbaum
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 70, Nº 2, 2015, págs. 577-614
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviation increase in jump (volatility) factor loadings associated with a 3.5% to 5.1% (2.7% to 2.9%) drop in expected annual stock returns.