Range-Based Volatility Timing
研究发现基于日内价格区间的波动率指标能更好预测动量利润，据此调整风险敞口的策略产生显著超额收益，且不同于传统风险解释。
A managed equity market portfolio that takes less risk when realized return volatility is high produces large alphas. In this article, the author documents that this surprising feature of the data is driven by momentum because realized return volatility has significant and robust predictive power for momentum profits. The author finds that a volatility proxy based on the intraday price range not only presents a convenient, easily computed alternative but also embeds superior priced information. A managed equity portfolio that takes more risk when range-based volatility is low generates a significant equity risk-adjusted alpha and significantly outperforms a realized return volatility-managed portfolio. In particular, range-based volatility timing foresees the attractiveness of the mean–variance trade-off. Managing range-based volatility is in contrast to conventional investment wisdom because the strategy takes relatively less risk in recessions, which rules out typical risk-based explanations. In line with research on slow-moving belief, the results suggest that investors initially underreact to volatility news followed by a delayed overreaction. The results also question the findings of empirical asset pricing studies that typically rely on monthly realized return volatility.