LofJAE2019.R
Creators:
Matthijs Lof
From the dataset abstract
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market returns up...
Source: Expected market returns: SVIX, realized volatility, and the role of dividends (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | R |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/72a5d11a-7507-4660-bdf8-5b62abbdb6fb/resource/783ff591-6909-4b31-91be-1b5aab78327f/download/lofjae2019.r |
| Last updated | November 23, 2022 |
| Created | November 23, 2022 |
