Matches in SemOpenAlex for { <https://semopenalex.org/work/W2895185951> ?p ?o ?g. }
- W2895185951 endingPage "258" @default.
- W2895185951 startingPage "246" @default.
- W2895185951 abstract "Using high-frequency data for the S&P 500, we decompose the so-called fear index, the VIX, into two components: conditional variance of stock returns and variance risk premium, which proxies for risk aversion. We provide evidence about the relationship between investor mood and the implied risk aversion around joyful occasions such as holidays and other occasions that might result in negative moods such as the disruption of sleep resulting from the move to daylight savings time. We find that implied risk aversion shows a U-shape around holidays and a ∩-shape when investors are in a negative mood. Our results validate the existence of changes in the price of risk around non-economic events, and suggest that variance risk premium can be a good reflection of mood." @default.
- W2895185951 created "2018-10-12" @default.
- W2895185951 creator A5039945542 @default.
- W2895185951 creator A5077077792 @default.
- W2895185951 date "2019-09-01" @default.
- W2895185951 modified "2023-09-25" @default.
- W2895185951 title "How much happiness can we find in the U.S. fear Index?" @default.
- W2895185951 cites W1965382866 @default.
- W2895185951 cites W1965635191 @default.
- W2895185951 cites W1966303645 @default.
- W2895185951 cites W1972325872 @default.
- W2895185951 cites W1980535216 @default.
- W2895185951 cites W1989490874 @default.
- W2895185951 cites W1991718610 @default.
- W2895185951 cites W1997354976 @default.
- W2895185951 cites W1999954243 @default.
- W2895185951 cites W2005085978 @default.
- W2895185951 cites W2016907534 @default.
- W2895185951 cites W2024190269 @default.
- W2895185951 cites W2028641291 @default.
- W2895185951 cites W2032187103 @default.
- W2895185951 cites W2037112617 @default.
- W2895185951 cites W2037508559 @default.
- W2895185951 cites W2039224290 @default.
- W2895185951 cites W2051892568 @default.
- W2895185951 cites W2062060569 @default.
- W2895185951 cites W2062645616 @default.
- W2895185951 cites W2064638174 @default.
- W2895185951 cites W2076538140 @default.
- W2895185951 cites W2082961314 @default.
- W2895185951 cites W2088661631 @default.
- W2895185951 cites W2091882799 @default.
- W2895185951 cites W2097580026 @default.
- W2895185951 cites W2108635931 @default.
- W2895185951 cites W2121148654 @default.
- W2895185951 cites W2131938998 @default.
- W2895185951 cites W2134183765 @default.
- W2895185951 cites W2139113919 @default.
- W2895185951 cites W2141185104 @default.
- W2895185951 cites W2144836007 @default.
- W2895185951 cites W2159879678 @default.
- W2895185951 cites W2302254640 @default.
- W2895185951 cites W2404261641 @default.
- W2895185951 cites W2532876847 @default.
- W2895185951 cites W2554871074 @default.
- W2895185951 cites W2765376792 @default.
- W2895185951 cites W2800675680 @default.
- W2895185951 cites W3121409256 @default.
- W2895185951 cites W3121766225 @default.
- W2895185951 cites W3121897461 @default.
- W2895185951 cites W3122758356 @default.
- W2895185951 cites W3122860764 @default.
- W2895185951 cites W3123692494 @default.
- W2895185951 cites W3123699983 @default.
- W2895185951 cites W3123942239 @default.
- W2895185951 cites W3124986135 @default.
- W2895185951 cites W3125254490 @default.
- W2895185951 cites W3125266524 @default.
- W2895185951 cites W3125759599 @default.
- W2895185951 cites W3125868247 @default.
- W2895185951 cites W3125987794 @default.
- W2895185951 cites W4238582115 @default.
- W2895185951 doi "https://doi.org/10.1016/j.frl.2018.10.001" @default.
- W2895185951 hasPublicationYear "2019" @default.
- W2895185951 type Work @default.
- W2895185951 sameAs 2895185951 @default.
- W2895185951 citedByCount "8" @default.
- W2895185951 countsByYear W28951859512020 @default.
- W2895185951 countsByYear W28951859512021 @default.
- W2895185951 countsByYear W28951859512022 @default.
- W2895185951 countsByYear W28951859512023 @default.
- W2895185951 crossrefType "journal-article" @default.
- W2895185951 hasAuthorship W2895185951A5039945542 @default.
- W2895185951 hasAuthorship W2895185951A5077077792 @default.
- W2895185951 hasConcept C106159729 @default.
- W2895185951 hasConcept C109574028 @default.
- W2895185951 hasConcept C121955636 @default.
- W2895185951 hasConcept C127413603 @default.
- W2895185951 hasConcept C129915516 @default.
- W2895185951 hasConcept C136764020 @default.
- W2895185951 hasConcept C149782125 @default.
- W2895185951 hasConcept C15744967 @default.
- W2895185951 hasConcept C162324750 @default.
- W2895185951 hasConcept C17483445 @default.
- W2895185951 hasConcept C175444787 @default.
- W2895185951 hasConcept C196083921 @default.
- W2895185951 hasConcept C204036174 @default.
- W2895185951 hasConcept C205706631 @default.
- W2895185951 hasConcept C21430997 @default.
- W2895185951 hasConcept C23922673 @default.
- W2895185951 hasConcept C24189920 @default.
- W2895185951 hasConcept C2777382242 @default.
- W2895185951 hasConcept C2778999518 @default.
- W2895185951 hasConcept C2780733359 @default.
- W2895185951 hasConcept C41008148 @default.
- W2895185951 hasConcept C44731940 @default.
- W2895185951 hasConcept C77805123 @default.
- W2895185951 hasConcept C78519656 @default.