? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

This Paper investigates the link between a firm’s competitive environment and the idiosyncratic volatility of its stock … volatility. We posit that competition affects volatility in two distinct and inter-related ways. Market power works as a hedging … information uncertainty for investors and therefore lower return volatility. We find strong support for both effects. Our results …

This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …