Unexpected Market Volatility as a Market Return Predictor
December 9, 2013 - Volatility Effects
Do upside (downside) market volatility surprises scare investors out of (draw investors into) the stock market? In the November 2013 version of his paper entitled “Dynamic Asset Allocation Strategies Based on Unexpected Volatility”, Valeriy Zakamulin investigates the ability of unexpected stock market volatility to predict future market returns. He calculates stock market index volatility for a… Keep Reading