return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …

: the probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of … across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …

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

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …