dc.creator | Schlag, Christian | |
dc.creator | Thimme, Julian | |
dc.creator | Weber, Rüdiger | |
dc.date.accessioned | 2021-09-28T09:38:59Z | |
dc.date.available | 2021-09-28T09:38:59Z | |
dc.date.issued | 2020-01-27 | |
dc.identifier.uri | https://fif.hebis.de/xmlui/handle/123456789/2371 | |
dc.description.abstract | We 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.rights | Attribution-ShareAlike 4.0 International | |
dc.rights.uri | http://creativecommons.org/licenses/by-sa/4.0/ | |
dc.subject | Financial Markets | |
dc.title | Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution | |
dc.type | Working Paper | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1478?OptionMetrics | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1379?CRSP | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1376?Compustat | |
dc.source.filename | 265_SSRN-id2881993 | |
dc.identifier.safeno | 265 | |
dc.subject.keywords | preference for early resolution of uncertainty | |
dc.subject.keywords | implied volatility | |
dc.subject.keywords | cross-sectionof expected stock returns | |
dc.subject.keywords | asset pricing | |
dc.subject.jel | G12 | |
dc.subject.jel | E44 | |
dc.subject.jel | D81 | |
dc.subject.topic1 | investor | |
dc.subject.topic1 | exposure | |
dc.subject.topic1 | kogan | |
dc.subject.topic2 | devote | |
dc.subject.topic2 | asset | |
dc.subject.topic2 | return | |
dc.subject.topic3 | table | |
dc.subject.topic3 | market | |
dc.subject.topic3 | strong | |
dc.subject.topic1name | Macro Finance | |
dc.subject.topic2name | Consumption | |
dc.subject.topic3name | Saving and Borrowing | |
dc.identifier.doi | 10.2139/ssrn.2881993 | |