Implied volatility duration: A measure for the timing of uncertainty resolution

• 成果类型: Article
• 署名作者: Schlag, Christian; Thimme, Julian; Weber, Ruediger
• 署名单位: Goethe University Frankfurt; Helmholtz Association; Karlsruhe Institute of Technology; Vienna University of Economics & Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.11.003
• 发表日期: 2021
• 页码: 127-144
• 关键词: Preference for early resolution of uncertainty; implied volatility; Cross-section of expected stock returns; asset pricing

摘要

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, more than 5% 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. (C) 2020 Elsevier B.V. All rights reserved.