, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

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

distribution. In the cross section, smaller firms and firms with a more concentrated customer base display higher volatility …. Network effects are essential to explaining the joint evolution of the empirical firm size and firm volatility distributions …. We propose and estimate a simple network model of firm volatility in which shocks to customers influence their suppliers …

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …

institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When …