(using short-term a discrete event). After a firm has declared a dividend (i.e., after the news release), but in the few days … that precede the payment date, an investor in the traded equity owns a claim to the dividend cash plus the remaining firm … equity within the corporate shell. After the payment date, the shell contains only the dividend-sans-cash firm equity. The …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 … developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility … higher moments. There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries …

the relation between exchange rate variability and stock return volatility and by decomposing this relation into … rates, we find a significant increase in the volatility of U.S. multinational monthly stock returns corresponding to the … period of increased exchange rate variability. This increase in stock return volatility is also significant relative to the …