Beta and size equity premia following a high‐VIX threshold

C-Tier

Journal: Journal of Futures Markets

Year: 2022

Volume: 42

Issue: 8

Pages: 1491-1517

Authors (3)

Naresh Bansal (not in RePEc) Robert A. Connolly (University of Miami) Chris Stivers (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count