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Unknown Unknowns: Uncertainty About Risk and Stock Returns
| Content Provider | Scilit |
|---|---|
| Author | Baltussen, Guido van Bekkum, Sjoerd van der Grient, Bart |
| Copyright Year | 2018 |
| Description | Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/6E0E98349D20C1DCF67F3A0452361B80/S0022109018000480a.pdf/div-class-title-unknown-unknowns-uncertainty-about-risk-and-stock-returns-div.pdf |
| Ending Page | 1651 |
| Page Count | 37 |
| Starting Page | 1615 |
| ISSN | 00221090 |
| e-ISSN | 17566916 |
| DOI | 10.1017/s0022109018000480 |
| Journal | Journal of Financial and Quantitative Analysis |
| Issue Number | 4 |
| Volume Number | 53 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2018-08-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of Financial and Quantitative Analysis Uncertainty About Risk |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
