Newswise — Research by David Weinbaum, associate professor of finance at the Martin J. Whitman School of Management at Syracuse University, and co-authored by Martijn Cremers, professor of finance at the University of Notre Dame, and Michael Halling, assistant professor of finance at the University of Utah’s David Eccles School of Business, examines the cross-sectional asset pricing and both the aggregate jump and volatility risks “in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other.”
The authors continue that “both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically.”
Weinbaum’s research interests are in investments and derivatives. Weinbaum has also published in several other leading journals in finance and economics, and his research has been cited in major national news outlets. He also works with doctoral students in finance as well as teaches investments at the undergraduate level and managerial finance and valuation in Whitman’s iMBA program.
The research paper, titled, “Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns,” has been accepted for publication in Journal of Finance, a foremost journal in financial research.
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