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Keywords: volatility modeling
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Journal Articles
Valuation and Returns on Stock Return Volatility
Available to Purchase
Journal:
The Accounting Review
The Accounting Review (2025) 100 (2): 299–328.
Published: 01 March 2025
... option returns volatility modeling valuation variance risk Firms with “high” discount rates have “high” firm-level discount rate volatility, which implies that, all else equal, the variance of stock return variance is higher among high discount rate firms. This variance risk is “priced...