-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

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 …

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …

macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in … explaining stock return volatility. However, the factor model primarily fails in fitting covariances …

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity …. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency … complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and …