Expected Correlation and Future Market Returns
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More about this item
Keywords
Expected (implied) correlation; Correlation risk premium; Return predictability; Idiosyncratic risk; Option-implied information; Contemporaneous betas;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2018-04-02 (Corporate Finance)
- NEP-FMK-2018-04-02 (Financial Markets)
- NEP-UPT-2018-04-02 (Utility Models and Prospect Theory)
Statistics
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