IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v91y2024icp752-763.html
   My bibliography  Save this article

Size, value and volatility

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S105905602400039X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2024.01.038?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.