Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Cross-sectional anomalies and volatility risk in different economic and market cycles
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
2015 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 12, 17-22 p.Article in journal (Refereed) Published
Abstract [en]

This study examines the exposures of cross-sectional anomalies to volatility risk in different economic and market cycles. The study shows that cross-sectional anomalies exposures can change dramatically. Most notably, the exposure of the value factor to volatility risk changed completely from positive to negative during the financial crisis of 2007-2009, while the returns to the momentum strategy are positively associated with the volatility risk only during crises and market rebound periods, otherwise negative. The findings imply that the value premium is partly in compensation for risk and that the momentum strategy may be a more defensive strategy during crisis.

Place, publisher, year, edition, pages
2015. Vol. 12, 17-22 p.
Keyword [en]
Momentum, Value premium, Volatility risk, Market cycles
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-115703DOI: 10.1016/j.frl.2014.12.004ISI: 000349511700004OAI: oai:DiVA.org:su-115703DiVA: diva2:799166
Note

AuthorCount:2;

Available from: 2015-03-30 Created: 2015-03-27 Last updated: 2017-12-04Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Peltomaki, Jarkko
By organisation
Stockholm Business School
In the same journal
Finance Research Letters
Business Administration

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 209 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf