Good and Bad Variance Premia and Expected Returns

Mete Kilic
Corresponding Author
Mete Kilic
[email protected]
http://orcid.org/0000-0002-2788-9087
Department of Finance and Business Economics, Marshall School of Business, University of Southern California, Los Angeles, California 90007
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,
Ivan Shaliastovich
Ivan Shaliastovich
[email protected]
Finance Department, Wisconsin School of Business, University of Wisconsin–Madison, Madison, Wisconsin 53706
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Corresponding Author

Mete Kilic

[email protected]

http://orcid.org/0000-0002-2788-9087

Department of Finance and Business Economics, Marshall School of Business, University of Southern California, Los Angeles, California 90007

Search for more papers by this author

,

Ivan Shaliastovich

Ivan Shaliastovich

[email protected]

Finance Department, Wisconsin School of Business, University of Wisconsin–Madison, Madison, Wisconsin 53706

Search for more papers by this author

Published Online:16 Jan 2018https://doi.org/10.1287/mnsc.2017.2890

Supplemental Material

mnsc.2017.2890-sm.pdf (308 KB)

cover image Management Science

Volume 65, Issue 6

June 2019

Pages 2445-2945

Article Information

Supplemental Material

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Information

Received:March 16, 2016
Accepted:June 24, 2017
Published Online:January 16, 2018

Copyright © 2018, INFORMS

Cite as

Mete Kilic, Ivan Shaliastovich (2018) Good and Bad Variance Premia and Expected Returns. Management Science 65(6):2522-2544.

https://doi.org/10.1287/mnsc.2017.2890

Keywords