Excess volatility: beyond discount rates

DOI10.1093/QJE/QJX034zbMATH Open1405.91617OpenAlexW2890083190MaRDI QIDQ4647451FDOQ4647451

Authors: Stefano Giglio, Bryan Kelly 

Publication date: 15 January 2019

Published in: The Quarterly Journal of Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/qje/qjx034

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zbMATH Keywords

optionsexcess volatilitydiscount ratesstandard models of prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (5)

• Excess volatility and stochastic approach of interest rates in stock market
• The risk premium that never was: a fair value explanation of the volatility spread
• Strategic trading with information acquisition and long-memory stochastic liquidity
• Do interest rate options contain information about excess returns?
• A note on Stein's overreaction puzzle

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