Volatility timing under low-volatility strategy
The authors show that the slope of the volatility decile portfolio’s return profile contains valuable information that can be used to time volatility under different market conditions in the United States. During good (bad) market conditions, the high- (low-) volatility portfolio produces the highes...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6866 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7865/viewcontent/Volatility_timing_under_low_volatility_strategy.pdf |
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| Institution: | Singapore Management University |
| Language: | English |