Mean–variance relationship and uncertainty

Mean–variance relationship and uncertainty

This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to...

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Bibliographic Details
Main Author: Jun Sik Kim
Format: Article
Language:English
Published: Emerald Publishing 2022-02-01
Series:Seonmul yeongu
Subjects:
economic policy uncertainty
volatility of volatility
uncertainty
mean–variance relationship
risk–return tradeoff
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Online Access:https://www.emerald.com/insight/content/doi/10.1108/JDQS-09-2021-0024/full/pdf?title=mean-variance-relationship-and-uncertainty

Internet

https://www.emerald.com/insight/content/doi/10.1108/JDQS-09-2021-0024/full/pdf?title=mean-variance-relationship-and-uncertainty

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