(using short-term a discrete event). After a firm has declared a dividend (i.e., after the news release), but in the few days …

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about …When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their … expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

, 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 …