has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

We present two valuation models that we use to account for the annual data on price per share and dividends per share … purely on a model of variation in the expected ratio of dividends per share to aggregate consumption over time under two … conditions. First, investors must receive news shocks regarding the expected ratio of dividends per share to aggregate …

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

hand, the overall volatility of individual returns and market returns is higher …

constraint returns help explain returns" following initial public offerings and dividend omissions. We find only limited support …

This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked … has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War … I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock …