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 …

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

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