Abstract
This thesis comprises three essays investigating risk and uncertainty in the U.S. equity market. In Chapter 2, we replicate and extend the volatility-managed investment frame- work of Moreira and Muir (2017), who demonstrate that investors can achieve abnormal returns and improved utility through volatility scaling strategies. Building upon their findings, we evaluate various volatility forecasting models, exploring their forecasting accuracy and economic implications in volatility-managed portfolios. Additionally, we assess alternative volatility management strategies to address potential limitations in- herent in Moreira and Muir’s original framework, demonstrating their ability to enhance portfolio performance significantly.In Chapter 3, we examine how uncertainty influences the effectiveness of volatility- managed investment strategies, both across individual stocks and over different market periods. Specifically, we construct a measure of risk uncertainty based on volatility- of-volatility and show that volatility-managed investment strategies perform particu- larly well among stocks exhibiting low uncertainty and during low uncertainty market regimes.
Chapter 4 explores the relationship between investor disagreement and stock returns. We introduce a novel empirical proxy for disagreement based on overnight (close-to-open) and intraday (open-to-close) returns, validated through a simple four-period theoretical framework. Our analysis shows a positive relationship between disagreement and future stock returns, attributing this relationship primarily to information uncertainty rather than mispricing effects.
| Date of Award | 30 Sept 2025 |
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| Original language | English |
| Awarding Institution |
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| Supervisor | Richard D F Harris (Supervisor) & Nick J Taylor (Supervisor) |