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dc.creatorSchlag, Christian
dc.creatorThimme, Julian
dc.creatorWeber, Rüdiger
dc.date.accessioned2021-09-28T09:38:59Z
dc.date.available2021-09-28T09:38:59Z
dc.date.issued2020-01-27
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2371
dc.description.abstractWe introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleImplied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1478?OptionMetrics
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1379?CRSP
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1376?Compustat
dc.source.filename265_SSRN-id2881993
dc.identifier.safeno265
dc.subject.keywordspreference for early resolution of uncertainty
dc.subject.keywordsimplied volatility
dc.subject.keywordscross-sectionof expected stock returns
dc.subject.keywordsasset pricing
dc.subject.jelG12
dc.subject.jelE44
dc.subject.jelD81
dc.subject.topic1investor
dc.subject.topic1exposure
dc.subject.topic1kogan
dc.subject.topic2devote
dc.subject.topic2asset
dc.subject.topic2return
dc.subject.topic3table
dc.subject.topic3market
dc.subject.topic3strong
dc.subject.topic1nameMacro Finance
dc.subject.topic2nameConsumption
dc.subject.topic3nameSaving and Borrowing
dc.identifier.doi10.2139/ssrn.2881993


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