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dc.contributor.authorArisoy, Eser*
dc.date.accessioned2012-09-26T14:35:39Z
dc.date.available2012-09-26T14:35:39Z
dc.date.issued2014-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10241
dc.language.isoenen
dc.subjectEmpirical Asset Pricingen
dc.subjectBeta
dc.subjectOptions
dc.subjectStock Returns
dc.subjectStocks
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G13
dc.titleAggregate Volatility and Market Jump Risk : An Option-Based Explanation to Size and Value Premiaen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIt is well-documented that stock returns have different sensitivities to changes in aggregate volatility, however less is known about their sensitivity to market jump risk. By using S&P 500 crash-neutral at-the-money straddle and out-of-money put returns as proxies for aggregate volatility and market jump risk, I document significant differences between volatility and jump loadings of value vs. growth, and small vs. big portfolios. In particular, small (big) and value (growth) portfolios exhibit negative (positive) and significant volatility and jump betas. I also provide further evidence that both volatility and jump risk factors are priced and negative.en
dc.relation.isversionofjnlnameThe Journal of Futures Markets
dc.relation.isversionofjnlvol34
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2014-01
dc.relation.isversionofjnlpages34–55
dc.relation.isversionofdoi10.1002/fut.21589
dc.identifier.urlsitehttps://dx.doi.org/10.2139/ssrn.1343626
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.identifierhal-01634549*


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