I am currently reading about stocks with "high sensitivity to innovations in aggregate volatility". I am not a native speaker so this might be a trivial question, but I truly cannot find an answer anywhere on the internet. Ang, Xing and Zhang (2006) state that "stocks with high sensitivities to innovations in aggregate volatility have low average returns".
Currently I am reading it as follows: Stocks that are sensitive to market volatility developments/movements/changes have low average returns. Is this how I should interpret the sentence stated before? I have found a book online describing stochastic volatility, but it's all relatively new to me.
Many thanks!
No comments:
Post a Comment