TY  - UNPD
A1  - Schlag, Christian
A1  - Thimme, Julian
A1  - Weber, Rüdiger
T1  - Implied volatility duration: a measure for the timing of uncertainty resolution
T2  - SAFE working paper series ; No. 265
N2  - We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.
T3  - SAFE working paper - 265 
KW  - Preference for early resolution of uncertainty
KW  - implied volatility
KW  - cross-section of expected stock returns
KW  - asset pricing
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/52896
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-528964
N1  - A previous version of this paper was titled "Implied Volatility Duration and the Early Resolution Premium".
IS  - First version: December 7, 2016 ; This version: January 27, 2020
PB  - SAFE
CY  - Frankfurt am Main
ER  -