Asymmetric pricing of implied systematic volatility in the cross-section of expected returns
研究发现股票对VIX变动的敏感性与收益率呈非对称关系：波动率上升时敏感性与收益率负相关，下降时则无关，表明只有隐含市场波动率的上升才是被定价的风险因子。
Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers, C. (2006), however, find an asymmetric relation between firm-level returns and implied market volatility innovations. We incorporate this asymmetry into the cross-sectional relation between sensitivity to volatility innovations and returns. Using both portfolio sorting and firm-level regressions, we find that sensitivity to VIX innovations is negatively related to returns when volatility is rising, but is unrelated when it is falling. The negative relation is robust to controls for other variables, suggesting only the increase in implied market volatility is a priced risk factor. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:34–54, 2011