{"id":"https://openalex.org/W2160344653","doi":"https://doi.org/10.3905/joi.2009.18.3.027","title":"The Pricing of Volatility and Skewness: A New Interpretation","display_name":"The Pricing of Volatility and Skewness: A New Interpretation","publication_year":2009,"publication_date":"2009-08-31","ids":{"openalex":"https://openalex.org/W2160344653","doi":"https://doi.org/10.3905/joi.2009.18.3.027","mag":"2160344653"},"language":"en","primary_location":{"id":"doi:10.3905/joi.2009.18.3.027","doi":"https://doi.org/10.3905/joi.2009.18.3.027","is_oa":false,"landing_page_url":"https://doi.org/10.3905/joi.2009.18.3.027","pdf_url":null,"source":{"id":"https://openalex.org/S118000741","display_name":"The Journal of Investing","issn_l":"1068-0896","issn":["1068-0896","2168-8613"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","cwts-core","jufo-1","norway-1","poland-20","russia-white-list-4","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Investing","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030126711","display_name":"Bradford Cornell","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I122411786","display_name":"California Institute of Technology","ror":"https://ror.org/05dxps055","country_code":"US","type":"education","lineage":["https://openalex.org/I122411786"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Bradford Cornell","raw_affiliation_strings":["is a professor of financial economics at the California Institute of Technology in Pasadena, CA. bcornell@hss.caltech.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a professor of financial economics at the California Institute of Technology in Pasadena, CA. bcornell@hss.caltech.edu","institution_ids":["https://openalex.org/I122411786"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5030126711"],"corresponding_institution_ids":["https://openalex.org/I122411786"],"apc_list":null,"apc_paid":null,"fwci":2.2545,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.91556124,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"18","issue":"3","first_page":"27","last_page":"30"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9711999893188477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9711999893188477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.019300000742077827,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.003000000026077032,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.6110000014305115},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.8799999952316284},{"id":"https://openalex.org/keywords/securities-pricing","display_name":"securities pricing","score":0.5239999890327454},{"id":"https://openalex.org/keywords/overpricing","display_name":"overpricing","score":0.7429999709129333},{"id":"https://openalex.org/keywords/security-selection","display_name":"security selection","score":0.6100000143051147},{"id":"https://openalex.org/keywords/overconfidence","display_name":"overconfidence","score":0.4429999887943268}],"concepts":[{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.6452775001525879},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.638980507850647},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5897666215896606},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5844583511352539},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5626170635223389},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4098460078239441},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3813498318195343},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.35980668663978577},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.33017247915267944},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18610721826553345}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/joi.2009.18.3.027","doi":"https://doi.org/10.3905/joi.2009.18.3.027","is_oa":false,"landing_page_url":"https://doi.org/10.3905/joi.2009.18.3.027","pdf_url":null,"source":{"id":"https://openalex.org/S118000741","display_name":"The Journal of Investing","issn_l":"1068-0896","issn":["1068-0896","2168-8613"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","cwts-core","jufo-1","norway-1","poland-20","russia-white-list-4","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Investing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W29414774","https://openalex.org/W1899917239","https://openalex.org/W1995834279","https://openalex.org/W2027341867","https://openalex.org/W2103679355","https://openalex.org/W2113208252","https://openalex.org/W2114600177","https://openalex.org/W3123443250","https://openalex.org/W4251827125","https://openalex.org/W6887925504"],"related_works":["https://openalex.org/W3124086871","https://openalex.org/W7100409635","https://openalex.org/W7095838702","https://openalex.org/W4376149753","https://openalex.org/W2187219694","https://openalex.org/W3008868153","https://openalex.org/W4225491850","https://openalex.org/W7213984759","https://openalex.org/W2185995794","https://openalex.org/W3160645629"],"abstract_inverted_index":{"Investors":[0],"who":[1],"perceive":[2],"themselves":[3],"to":[4,13,88],"possess":[5],"superior":[6],"security":[7,99],"selection":[8],"skill":[9],"will":[10,49],"be":[11,37,50],"want":[12],"invest":[14],"more":[15],"heavily":[16],"in":[17],"securities":[18,30],"with":[19,82],"highly":[20,55,92],"volatile":[21,56,93],"and":[22,57,94,101],"skewed":[23,58,95],"returns,":[24],"because":[25],"it":[26],"is":[27],"among":[28],"those":[29],"that":[31,66,78],"the":[32,47,51,69,72,89],"largest":[33],"winners":[34],"can":[35],"generally":[36],"found.":[38],"If":[39],"fundamental":[40],"investors":[41],"overestimate,":[42],"or":[43],"oversell,":[44],"their":[45],"skill,":[46],"result":[48],"relative":[52],"overpricing":[53,90],"of":[54,71,77,91],"securities.":[59,96],"This":[60],"article":[61],"develops":[62],"a":[63],"simple":[64],"model":[65,79],"draws":[67],"out":[68],"implications":[70,76],"foregoing":[73],"observation.":[74],"The":[75],"are":[80],"consistent":[81],"recent":[83],"empirical":[84],"work":[85],"which":[86],"points":[87],"TOPICS:Volatility":[97],"measures,":[98],"analysis":[100],"valuation,":[102],"risk":[103],"management":[104]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
