The authors acknowledge the helpful comments and suggestions of Robert Battalio, Charles Cao, Martijn Cremers, George Comer, David Denis, Dirk Hackbarth, John Clark Francis, Alok Kumar, Anna Obizhaeva, Ehud Ronn, Chris Stivers, Ilya Strebulaev, Anand Vijh, Keith Vorkink, David Yermack, Jialin Yu, Huimin Zhao, and the participants of the 2009 FMA meeting, the 2009 PhD Project FDSA meeting, and the 20th Anniversary Conference on Financial Economics and Accounting. All remaining errors are our own.
Asymmetric pricing of implied systematic volatility in the cross-section of expected returns†
Article first published online: 2 NOV 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 1, pages 34–54, January 2011
How to Cite
Delisle, R. J., Doran, J. S. and Peterson, D. R. (2011), Asymmetric pricing of implied systematic volatility in the cross-section of expected returns. J. Fut. Mark., 31: 34–54. doi: 10.1002/fut.20457
- Issue published online: 2 NOV 2010
- Article first published online: 2 NOV 2010
- Manuscript Accepted: JAN 2010
- Manuscript Received: MAY 2009
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