volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

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 …