Abstract
Wang, H., Yan, J. and Yu, J. (2017) demonstrate that the risk-return correlations change from positive to negative depending on whether the stock has accrued capital gains or capital losses. The authors argue that Prospect Theory’s reflection principle provides the most convincing explanation to the asymmetry. The current note complements this evidence, reporting robust significant correlations between the absolute, but not the signed, realized returns on S&P500 stocks and estimates of the stocks’ contemporaneous volatility. The correlations consistently show at the cross-section and across time in analysis of daily, monthly, quarterly, half-yearly and yearly returns.
References
Streltsin, V., Roth, Y., & Sonsino, D. (2026). More Evidence for Asymmetric Volatility-Return Correlations. Finance Research Open, 100089.
English (UK) 
Ελληνικά 
