Neyman Seminar - In Search of a Statistically Valid Volatility Risk Factor

Neyman Seminar - In Search of a Statistically Valid Volatility Risk Factor

Neyman Seminar
Mar 6, 2013, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Lisa Goldberg, Department of Statistics, University of California, Berkeley
Theory predicts that aggregate volatility ought to be a priced risk factor. In an influential study with more than 1000 citations on Google Scholar, Ang, Hodrick, Xing, and Zhang (2006) propose an ex post factor, FV IX, intended as a proxy for aggregate volatility risk. Their test validating FV IX is an OLS regression of portfolio excess returns on FV IX and other independent variables over the...