Implied volatility duration: A measure for the timing of uncertainty resolution
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DOI: 10.1016/j.jfineco.2020.11.003
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Keywords
Preference for early resolution of uncertainty; Implied volatility; Cross-section of expected stock returns; Asset pricing;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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