New Study Reveals Positive Risk-Return Relation and Significant Leverage Effect
The article examines the relationship between risk and return in the S&P500 market using a specific mathematical model. The researchers found that there is a positive connection between risk and return, as well as a significant leverage effect. They also discovered that the timing of the chosen volatility measure can impact these conclusions. The study's results were consistent across different volatility proxies, such as realized volatility from high-frequency returns and implied Black-Scholes volatility.