I thank seminar participants at Cass Business School, Grenoble Ecole de Management, Lancaster University Management School and discussants at EFMA 2010 Meetings and FMA 2010 Meetings for valuable feedback. I am grateful to the Editor, Bob Webb, for a smooth editorial process and an anonymous reviewer for valuable comments and suggestions, which improved the study significantly. Usual disclaimer applies.
Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia
Article first published online: 11 DEC 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 1, pages 34–55, January 2014
How to Cite
Arisoy, Y. E. (2014), Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia. J. Fut. Mark., 34: 34–55. doi: 10.1002/fut.21589
- Issue published online: 6 DEC 2013
- Article first published online: 11 DEC 2012
- Manuscript Accepted: 12 SEP 2012
- Manuscript Received: 25 JAN 2011