We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates … banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …

idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states … low returns and alphas in firms with high idiosyncratic volatility …

few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law … nonparametric volatility show a striking correspondence to the power law coefficients estimated from returns data for stocks in the …

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …