TY  - JOUR
TI  - Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
AB  - 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, more than 5% 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.
DO  - https://doi.org/10.1016/j.jfineco.2020.11.003
SP  - 127
EP  - 144
UR  - https://www.sciencedirect.com/science/article/pii/S0304405X20302877
PY  - 2021-01-01
JO  - Journal of Financial Economics
AU  - Schlag, Christian 
AU  - Thimme, Julian 
AU  - Weber, Rüdiger 
ER -