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Size, value and volatility

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  • Peterburgsky, Stanley

Abstract

We examine the relationship between total stock market risk and the returns on several long-short portfolios that have been widely regarded as priced risk factors in much of prior literature. We find that shocks to implied volatility and to expected realized volatility are related to the returns on the size and value portfolios in a way that is consistent with a straightforward risk-based interpretation. The results are largely consistent across geographic regions and across 1-month, 3-month and 6-month horizons. Additionally, the response of size and value portfolios to positive and negative volatility shocks is asymmetric.

Suggested Citation

  • Peterburgsky, Stanley, 2024. "Size, value and volatility," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 752-763.
    • Handle: RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763
    DOI: 10.1016/j.iref.2024.01.038
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    More about this item

    Keywords

    Volatility; Risk factors; Flight to quality;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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