Size, value and volatility

Stanley Peterburgsky

International Review of Economics & Finance, 2024, vol. 91, issue C, 752-763

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.

Keywords: Volatility; Risk factors; Flight to quality (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763

DOI: 10.1016/j.iref.2024.01.038

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