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• W2559938825 abstract "A long-term investor who ignores variation in volatility gives up the equivalent of 2.4% of wealth per year. This result holds for a wide range of parameters that are consistent with US stock market data, and it is robust to estimation uncertainty. We propose and test a new channel, the volatility composition channel, for how investment horizon interacts with volatility timing. Investors respond substantially less to volatility variation if the amount of mean reversion in returns disproportionally increases with volatility and also if mean reversion happens quickly. We find that these conditions are unlikely to hold in the data." @default.
• W2559938825 created "2016-12-16" @default.
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• W2559938825 date "2019-03-01" @default.
• W2559938825 modified "2023-10-06" @default.
• W2559938825 title "Should Long-Term Investors Time Volatility?" @default.
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• W2559938825 doi "https://doi.org/10.1016/j.jfineco.2018.09.011" @default.
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