Good Volatility, Bad Volatility, and the Cross Section of Stock Returns

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Standard

Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. / Bollerslev, Tim; Li, Sophia Zhengzi; Zhao, Bingzhi.

I: Journal of Financial and Quantitative Analysis, Bind 55, Nr. 3, 05.2020, s. 751-781.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Harvard

Bollerslev, T, Li, SZ & Zhao, B 2020, 'Good Volatility, Bad Volatility, and the Cross Section of Stock Returns', Journal of Financial and Quantitative Analysis, bind 55, nr. 3, s. 751-781. https://doi.org/10.1017/S0022109019000097

APA

Bollerslev, T., Li, S. Z., & Zhao, B. (2020). Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis, 55(3), 751-781. https://doi.org/10.1017/S0022109019000097

CBE

Bollerslev T, Li SZ, Zhao B. 2020. Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis. 55(3):751-781. https://doi.org/10.1017/S0022109019000097

MLA

Bollerslev, Tim, Sophia Zhengzi Li og Bingzhi Zhao. "Good Volatility, Bad Volatility, and the Cross Section of Stock Returns". Journal of Financial and Quantitative Analysis. 2020, 55(3). 751-781. https://doi.org/10.1017/S0022109019000097

Vancouver

Bollerslev T, Li SZ, Zhao B. Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis. 2020 maj;55(3):751-781. https://doi.org/10.1017/S0022109019000097

Author

Bollerslev, Tim ; Li, Sophia Zhengzi ; Zhao, Bingzhi. / Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. I: Journal of Financial and Quantitative Analysis. 2020 ; Bind 55, Nr. 3. s. 751-781.

Bibtex

@article{d353a735553a426c9247bdf7db0e28dc,
title = "Good Volatility, Bad Volatility, and the Cross Section of Stock Returns",
abstract = "Based on intraday data for a large cross section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or {"}good{"} and {"}bad{"} volatilities, associated with positive and negative high-frequency price increments, respectively. Sorting the individual stocks into portfolios based on their normalized good minus bad volatilities results in economically large and highly statistically significant differences in the subsequent portfolio returns. These differences remain significant after controlling for other firm characteristics and explanatory variables previously associated with the cross section of expected stock returns.",
keywords = "JUMPS, RISK, SKEWNESS, VARIANCE",
author = "Tim Bollerslev and Li, {Sophia Zhengzi} and Bingzhi Zhao",
year = "2020",
month = may,
doi = "10.1017/S0022109019000097",
language = "English",
volume = "55",
pages = "751--781",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Good Volatility, Bad Volatility, and the Cross Section of Stock Returns

AU - Bollerslev, Tim

AU - Li, Sophia Zhengzi

AU - Zhao, Bingzhi

PY - 2020/5

Y1 - 2020/5

N2 - Based on intraday data for a large cross section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or "good" and "bad" volatilities, associated with positive and negative high-frequency price increments, respectively. Sorting the individual stocks into portfolios based on their normalized good minus bad volatilities results in economically large and highly statistically significant differences in the subsequent portfolio returns. These differences remain significant after controlling for other firm characteristics and explanatory variables previously associated with the cross section of expected stock returns.

AB - Based on intraday data for a large cross section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or "good" and "bad" volatilities, associated with positive and negative high-frequency price increments, respectively. Sorting the individual stocks into portfolios based on their normalized good minus bad volatilities results in economically large and highly statistically significant differences in the subsequent portfolio returns. These differences remain significant after controlling for other firm characteristics and explanatory variables previously associated with the cross section of expected stock returns.

KW - JUMPS

KW - RISK

KW - SKEWNESS

KW - VARIANCE

UR - http://www.scopus.com/inward/record.url?scp=85060846972&partnerID=8YFLogxK

U2 - 10.1017/S0022109019000097

DO - 10.1017/S0022109019000097

M3 - Journal article

AN - SCOPUS:85060846972

VL - 55

SP - 751

EP - 781

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -