explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …

, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed … equal zero in the U.S. Consistent with the view that anomalies reflect mispricing, idiosyncratic volatility exhibits a …