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Sep 10 2019 17:04
MoneyScience has started a discussion topic titled “high sensitivity to innovations in aggregate volatility" Sep 10 2019 17:04
Sep 10 2019 17:04 MoneyScience  

Ang, Xing and Zhang (2006) state that "stocks with high sensitivities to innovations in aggregate volatility have low average returns". I am...

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Sep 10 2019 16:34
Sep 10 2019 16:34 MoneyScience  

Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can...


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