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- W3123065233 abstract "This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility." @default.
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- W3123065233 date "2016-02-01" @default.
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- W3123065233 title "Aggregate volatility risk and the cross-section of stock returns: Australian evidence" @default.
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- W3123065233 doi "https://doi.org/10.1016/j.pacfin.2015.12.006" @default.
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