The economic value of volatility timing

• 成果类型: Article
• 署名作者: Fleming, J; Kirby, C; Ostdiek, B
• 署名单位: Rice University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00327
• 发表日期: 2001
• 页码: 329-352
• 关键词: conditional heteroskedasticity; stock returns; MARKET; variability; variance; exchange; models; volume

摘要

Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk. and transaction costs.