Return Extrapolation and Volatility Expectations

doi:10.1017/S0022109025000249

Return Extrapolation and Volatility Expectations

2025-03-01

0

OA

AI

DOI：10.1017/S0022109025000249

原文链接

查看原文

摘要

En 中文

This article provides the first comprehensive evidence that the return extrapolation behavior of investors leads to biases in the expectations of volatility. Lower past returns are associated with higher expectations of volatility when using the physical, risk-neutral, and survey measures to estimate volatility expectations. Consistent with the return extrapolation framework, recent past returns have a larger impact than distant past returns on volatility expectations. Biases in volatility expectations are i) distinct from extrapolating past realized volatility, ii) asymmetrically induced by recent past negative returns, and iii) lead investors to pay more to insure against the perceived higher expected volatility.

Keyword:

VARIANCE RISK

STOCK RETURNS

BELIEFS

MODEL

Return Extrapolation and Volatility Expectations

摘要

AI总结

期刊

机构