Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies
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DOI: 10.1016/j.jempfin.2021.05.003
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More about this item
Keywords
Implied volatility; Trading strategies; Cross-sectional return; Investor sentiment; Delayed arbitrage;All these keywords.
JEL classification:
- G4 - Financial Economics - - Behavioral Finance
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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