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You regress current returns for the S & P 500 against the previous days returns and find a statistically significant, negative, coefficient. Describe what this
You regress current returns for the S & P 500 against the previous days returns and find a statistically significant, negative, coefficient. Describe what this phenomenon is and what you would do to take advantage of it. You repeat the same analysis for VIX and find a statistically significant, negative coefficient as well. Would be able to take advantage of it? Discuss the difference between the two and the different implications for investors of these coefficients.
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