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Article

Practical Applications of VIX versus Size

Maggie Copeland, Thomas Copeland and Gauri Goyal
Practical Applications Summer 2016, 4 (1) DOI: https://doi.org/10.3905/pa.2016.4.1.160
Maggie Copeland
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Thomas Copeland
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Gauri Goyal
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VIX versus Size Maggie Copeland Thomas Copeland

Abstract

What explains the cross-section of returns in the US equity market?

Maggie Copeland and Thomas Copeland, Co-Founders of Copeland Valuation Consultants, say that changes in VIX can explain stock returns. Their research shows that forward implied volatility, as measured by the VIX Index, is a key determinant,statistically more important than market cap.

The VIX—the “fear gauge”—is a commonly used measure of market risk, a contrarian indicator that spikes when the stock market declines. Using a data sample from the period 2000–2011, the authors find that when the VIX has a positive move, large-cap stocks outperform small-cap stocks, and viceversa. Their finding debunks the commonly held assumption that the size effect always holds true.

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 4 (1)
Practical Applications
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Summer 2016
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Practical Applications of VIX versus Size
Maggie Copeland, Thomas Copeland
Practical Applications Jul 2016, 4 (1) DOI: 10.3905/pa.2016.4.1.160

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Practical Applications of VIX versus Size
Maggie Copeland, Thomas Copeland
Practical Applications Jul 2016, 4 (1) DOI: 10.3905/pa.2016.4.1.160
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    • CHANGES IN VIX OUTWEIGH SIZE
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