Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …

This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks …, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly … period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility …

-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits …

Labour Dynamics in Australia (HILDA) survey. Our identification strategy exploits regional variation in the tendency to …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …