Volatility Expectations and Returns

Abstract

and two anonymous referees for comments. We thank James O'Neill and Alvaro Boitier for excellent research assistance. We thank Ing-Haw Cheng, Stefano Giglio, Ian Dew-Becker, and Travis Johnson for making data available. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.