Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/213567 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
SAFE Working Paper No. 265
Verlag: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Zusammenfassung: 
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that 'late' stocks can only have higher expected returns than 'early' stocks, if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.
Schlagwörter: 
preference for early resolution of uncertainty
implied volatility
cross-sectionof expected stock returns
asset pricing
JEL: 
G12
E44
D81
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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