whether these findings ran he attributed to time-varying risk premia, but in our tests the data provide little support for …

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

imply that both the market risk-premium and expected dividend growth vary considerably more than what can be revealed using …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the … reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …