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Christian, Wagner ; Ian, Martin ; Christian, Wagner. (2016) What is the Expected Return on a Stock?.
In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11608.
Full description at Econpapers
cites:
SVIX t 2 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 Jan/96 Jan/99 Jan/02 Jan/05 Jan/08 Jan/11 Jan/14 Figure 6: Beta, size, value, momentum, and option-implied equity variance This Figure reports (equally-weighted) averages of risk-neutral stock variance (SVIX2 i,t, computed from individual firm equity options) of S&P 500 stocks, conditional on firm beta, size, book-to-market, and momentum. At every date t, we assign stocks to decile portfolios based on on their characteristics and report the time-series averages of SVIX2 i,t across deciles using SVIX2 i,t-horizons of one year (Panels A to D). The sample period is January 1996 to October 2014.
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