The Economic Value of Volatility Timing  

Oleh:

Fleming, Jeff ; Kirby, Chris ; Ostdiek, Barbara

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 329-352.
Topik: ECONOMIC VALUES; volatility; studies; mathematical models; statistical analysis; portfolio performance
Fulltext: p 329.pdf (757.73KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Volatility plays a central role in derivatives pricing, optimal portfolio selection, and risk management. Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. The literature, however, has centered on evaluating the statistical performance of volatility models rather than the economic significance of time-varying, predictable volatility. In contrast, this question is examined by using conditional mean - variance analysis to assess the value of volatility timing to short - horizon investors. The volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs.

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