information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …

Average idiosyncratic volatility and firm idiosyncratic volatility increase with the number of listed firms. Average … industry idiosyncratic volatility increases with the number of listed firms in the industry. We ex-plain the relation between … idiosyncratic volatility and the number of listed firms through Schumpeterian creative destruction. We show that Schumpeterian …

predictions of microstructure models. Higher volatility is associated with faster, initially stronger reversals, while lower …

incorporate information about the covariance structure of returns. By using a high statistical power methodology to forecast …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more …We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use … factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models …