{"id":"https://openalex.org/W3122588076","doi":"https://doi.org/10.1016/j.jbankfin.2009.10.012","title":"Volatility risk and the value premium: Evidence from the French stock market","display_name":"Volatility risk and the value premium: Evidence from the French stock market","publication_year":2009,"publication_date":"2009-10-29","ids":{"openalex":"https://openalex.org/W3122588076","doi":"https://doi.org/10.1016/j.jbankfin.2009.10.012","mag":"3122588076"},"language":"en","primary_location":{"id":"doi:10.1016/j.jbankfin.2009.10.012","doi":"https://doi.org/10.1016/j.jbankfin.2009.10.012","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2009.10.012","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","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/A5079313574","display_name":"Yakup Eser Ar\u0131soy","orcid":"https://orcid.org/0000-0002-0832-8604","observed_orcids":["https://orcid.org/0000-0002-0832-8604"]},"institutions":[{"id":"https://openalex.org/I4210148300","display_name":"Institut d'Economie Scientifique Et de Gestion","ror":"https://ror.org/04jqeag92","country_code":"FR","type":"education","lineage":["https://openalex.org/I181827316","https://openalex.org/I4210148300"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Yakup Eser Arisoy","raw_affiliation_strings":["IESEG School of Management, Finance Group, 3 Rue de la Digue, 59000 Lille, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IESEG School of Management, Finance Group, 3 Rue de la Digue, 59000 Lille, France","institution_ids":["https://openalex.org/I4210148300"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5079313574"],"corresponding_institution_ids":["https://openalex.org/I4210148300"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":5.6363,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.95945874,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"34","issue":"5","first_page":"975","last_page":"983"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9868000149726868,"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":0.9868000149726868,"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":0.007899999618530273,"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":0.0008999999845400453,"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/value-premium","display_name":"value premium","score":0.996999979019165},{"id":"https://openalex.org/keywords/value-versus-growth-stocks","display_name":"value versus growth stocks","score":0.7440000176429749},{"id":"https://openalex.org/keywords/cac-40","display_name":"CAC 40","score":0.8050000071525574},{"id":"https://openalex.org/keywords/time-varying-risk","display_name":"time-varying risk","score":0.6069999933242798},{"id":"https://openalex.org/keywords/flight-to-quality","display_name":"flight to quality","score":0.8939999938011169},{"id":"https://openalex.org/keywords/french-stock-market","display_name":"French stock market","score":0.781000018119812},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.6510000228881836}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7438745498657227},{"id":"https://openalex.org/C2775933567","wikidata":"https://www.wikidata.org/wiki/Q7912771","display_name":"Value premium","level":3,"score":0.7223396301269531},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6824629306793213},{"id":"https://openalex.org/C143591128","wikidata":"https://www.wikidata.org/wiki/Q1746791","display_name":"Growth stock","level":5,"score":0.6343482136726379},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.624214768409729},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.608741044998169},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5864328742027283},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.5528768301010132},{"id":"https://openalex.org/C195742910","wikidata":"https://www.wikidata.org/wiki/Q176494","display_name":"Recession","level":2,"score":0.5253195762634277},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4731888771057129},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4501112997531891},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4396759271621704},{"id":"https://openalex.org/C141441539","wikidata":"https://www.wikidata.org/wiki/Q1970908","display_name":"Boom","level":2,"score":0.4295431673526764},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3973769545555115},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.36652976274490356},{"id":"https://openalex.org/C12747933","wikidata":"https://www.wikidata.org/wiki/Q13405082","display_name":"Stock market bubble","level":4,"score":0.15848305821418762},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.08411142230033875},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C87717796","wikidata":"https://www.wikidata.org/wiki/Q146326","display_name":"Environmental engineering","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.jbankfin.2009.10.012","doi":"https://doi.org/10.1016/j.jbankfin.2009.10.012","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2009.10.012","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":41,"referenced_works":["https://openalex.org/W1600149760","https://openalex.org/W1602439791","https://openalex.org/W1966268097","https://openalex.org/W1967872601","https://openalex.org/W1982146494","https://openalex.org/W1990799255","https://openalex.org/W2006808353","https://openalex.org/W2027358417","https://openalex.org/W2079946604","https://openalex.org/W2096766047","https://openalex.org/W2099750880","https://openalex.org/W2113208252","https://openalex.org/W2113305199","https://openalex.org/W2114887124","https://openalex.org/W2117178635","https://openalex.org/W2128532428","https://openalex.org/W2130830554","https://openalex.org/W2134807435","https://openalex.org/W2139569437","https://openalex.org/W2141185104","https://openalex.org/W2146587342","https://openalex.org/W2149170345","https://openalex.org/W2156018155","https://openalex.org/W2170415678","https://openalex.org/W2280131726","https://openalex.org/W2301217671","https://openalex.org/W2566213859","https://openalex.org/W3023906401","https://openalex.org/W3115084465","https://openalex.org/W3121588427","https://openalex.org/W3121766225","https://openalex.org/W3123752263","https://openalex.org/W3123957507","https://openalex.org/W3124199955","https://openalex.org/W3124704554","https://openalex.org/W3125970726","https://openalex.org/W3126120853","https://openalex.org/W3148551660","https://openalex.org/W4285719527","https://openalex.org/W4294553740","https://openalex.org/W4362591374"],"related_works":["https://openalex.org/W2103407059","https://openalex.org/W1980995162","https://openalex.org/W4247371373","https://openalex.org/W3022944163","https://openalex.org/W3124704554","https://openalex.org/W7100053667","https://openalex.org/W2323127694","https://openalex.org/W4253258325","https://openalex.org/W1602439791","https://openalex.org/W2891707862"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2021-02-01T00:00:00"}