Construct · 1 fields · 1 citations

volatility feedback effect: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

the mechanism by which an anticipated rise in volatility raises required returns and lowers prices, amplifying bad news and dampening good news.

In asset pricing, volatility feedback effect refers to the mechanism by which an anticipated rise in volatility raises required returns and lowers prices, amplifying bad news and dampening good news. This meaning comes from Campbell (1992) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs dampening1 fields · 1 citationsanchor · a standalone construct feedback4 fields · 5 citationsjingle · one word, four constructs

References

Campbell, J. Y., & Hentschel, L. (1992). No news is good news. Journal of Financial Economics, 31(3), 281-318. https://doi.org/10.1016/0304-405x(92)90037-x

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