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• W3123808625 abstract "Based on intraday data for a large cross section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or “good” and “bad” volatilities, associated with positive and negative high-frequency price increments, respectively. Sorting the individual stocks into portfolios based on their normalized good minus bad volatilities results in economically large and highly statistically significant differences in the subsequent portfolio returns. These differences remain significant after controlling for other firm characteristics and explanatory variables previously associated with the cross section of expected stock returns." @default.
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• W3123808625 date "2019-01-30" @default.
• W3123808625 modified "2023-10-18" @default.
• W3123808625 title "Good Volatility, Bad Volatility, and the Cross Section of Stock Returns" @default.
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• W3123808625 doi "https://doi.org/10.1017/s0022109019000097" @default.
• W3123808625 hasPublicationYear "2019" @default.
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