A behavioral explanation for the negative asymmetric return–volatility relation

By A. Hibbert, Robert T. Daigler, Brice Dupoyet. 2008

255 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a73bf2286b7aec4cb8bf33fcc2be57f2ec17ab2e

Citations in the corpus

• The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “(1993) and Hibbert et al. (2008) report a significantly negative relationship between expected returns and the conditional variance in the U.”