The DOI matches its Crossref record; 84 of the 84 references it cites were found in a registry or an index.
Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
Open accessAbstract
We explore the cross‐sectional pricing of volatility risk by decomposing equity market volatility into short‐ and long‐run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short‐run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long‐run component relates to business cycle risk. Furthermore, a three‐factor pricing model with the market return and the two volatility components compares favorably to benchmark models.
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Cites
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Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
High idiosyncratic volatility and low returns: International and further U.S. evidence
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2007.12.005 · Cited by 1,439
Stock Market Volatility and Macroeconomic Fundamentals
Engle, R. F., Ghysels, E., & Sohn, B. (2013) · Review of Economics and Statistics · doi:10.1162/rest_a_00300 · Cited by 1,117
The common factor in idiosyncratic volatility: Quantitative asset pricing implications
Herskovic, B., Kelly, B., Lustig, H., & Van Nieuwerburgh, S. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.09.010 · Cited by 398
An intertemporal CAPM with stochastic volatility
Campbell, J. Y., Giglio, S., Polk, C., & Turley, R. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.02.011 · Cited by 331
Metadata
- Authors
- ADRIAN, T., & ROSENBERG, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2008-11-11
- Volume
- 63
- Issue
- 6
- Pages
- 2997-3030
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3021580254
- Cited by
- 473
- References
- 84
- FWCI
- 39.66
- Type
- journal article
- Language
- en
- Open access
- bronze
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- ADRIAN, T., & ROSENBERG, J. (2008). Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2008.01419.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
