Data show that better creditor protection is correlated across countries with lower average stock market volatility …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

financial stringency from the harvest season, with the rest of the year during the period 1870-1925. Stock volatility in the … period (1870- May 1908). We also find that the volatility of the call loan rate declined nearly 70 percent in September and …

disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …

This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence … stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and … can control stock volatility. The evidence supports the observation by Black [1976] that stock volatility increases after …

This paper analyzes the behavior of stock return volatility using daily data from 1885 through 1987. The October 1987 … stock market crash was unusual in many ways relative to prior history. In particular, stock volatility jumped dramatically … call option prices and estimates of volatility from futures contracts on stock indexes to confirm this result …

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 …