Perspectives: Another Clue to Volatility

Posted: 11 Jun 2011

See all articles by Martin S. Fridson

Martin S. Fridson

Lehmann, Livian, Fridson Advisors LLC

Date Written: June 9, 2011

Abstract

Financial economists treat volatility as a function of investors’ responses to new information. They generally presume that if an asset class is more volatile in one geographical region than in another, it is attributable to a difference in either the local version of the asset class or the economic environment. A case study involving high-yield bond volatility in Europe and the United States suggests that cultural differences may also contribute to disparities in volatility.

Keywords: fixed income, analysis of credit risk, volatility risk; fixed-income markets, characteristics, institutions, benchmarks, sovereign debt, fixed-income valuation, sector, industry, company, return analysis, price volatility characteristics of bonds

Suggested Citation

Fridson, Martin S., Perspectives: Another Clue to Volatility (June 9, 2011). Financial Analysts Journal, Vol. 67, No. 3, 2011. Available at SSRN: https://ssrn.com/abstract=1861359

Martin S. Fridson (Contact Author)

Lehmann, Livian, Fridson Advisors LLC ( email )

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New York, NY 10022
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