Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies

Title
Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies
Authors
Keywords
Implied volatility, Trading strategies, Cross-sectional return, Investor sentiment, Delayed arbitrage
Journal
Journal of Empirical Finance
Volume 63, Issue -, Pages 42-56
Publisher
Elsevier BV
Online
2021-06-03
DOI
10.1016/j.jempfin.2021.05.003

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